Canova-Hansen test for stable trading days
Usage
td_canovahansen(
s,
differencing,
kernel = c("Bartlett", "Square", "Welch", "Tukey", "Hamming", "Parzen"),
order = NA
)
Arguments
- s
a ts object that corresponds to the input time series to
test.
- differencing
Differencing lags.
- kernel
Kernel used to compute the robust covariance matrix.
- order
The truncation parameter used to compute the robust covariance matrix.
Value
list with the ftest on td, the joint test and the details for the stability of the different days (starting with Mondays).
Examples
s <- log(ABS$X0.2.20.10.M)
td_canovahansen(s, c(1, 12))
#> $td
#> $td$value
#> [1] 21.31204
#>
#> $td$pvalue
#> [1] 9.130842e-22
#>
#>
#> $joint
#> [1] 2.522328
#>
#> $details
#> [1] 0.9437191 1.5160559 1.8346550 1.8401795 1.1661557 0.9028408 1.7277995
#>
