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 F-Test 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
#>
