Residual Trading Days Test
Usage
td_f(
s,
model = c("D1", "DY", "DYD1", "WN", "AIRLINE", "R011", "R100"),
nyears = 0
)
Arguments
- s
a
ts
object that corresponds to the input time series to test.- model
the model to use for the residuals. See details.
- nyears
integer
that corresponds to the length of the sub series, starting from the end of the series, to be used for the test: in number of periods (positive value) or years (negative values). By default (nyears = 0
), the entire sample is used.
Details
The function performs a residual seasonality test that is a joint F-Test on the coefficients of trading days regressors. Several specifications can be used on the model:
model = "WN"
the following model is used: $$ y_t - \bar y =\beta TD_t + \varepsilon_t $$model = "D1"
(the default) the following model is used: $$ \Delta y_t - \overline{\Delta y} =\beta \Delta TD_t + \varepsilon_t $$model = "DY"
the following model is used: $$ \Delta_s y_t - \overline{\Delta_s y} =\beta \Delta_s TD_t + \varepsilon_t $$model = "DYD1"
the following model is used: $$ \Delta_s\Delta y_t - \overline{\Delta_s \Delta y} =\beta \Delta_s \Delta TD_t + \varepsilon_t $$model = "AIRLINE"
the following model is used: $$ y_t =\beta TD_t + \varepsilon_t \text{ with }\varepsilon_t \sim ARIMA(0,1,1)(0,1,1) $$model = "R011"
the following model is used: $$ y_t =\beta TD_t + \varepsilon_t \text{ with }\varepsilon_t \sim ARIMA(0,1,1) $$model = "R100"
the following model is used: $$ y_t =\alpha_0 + \alpha_1 y_{t-1} + \beta TD_t + \varepsilon_t $$