Likelihood ratio test on time varying trading days
Usage
td_timevarying(s, groups = c(1, 2, 3, 4, 5, 6, 0), contrasts = FALSE)Arguments
- s
The tested time series
- groups
The groups of days used to generate the regression variables.
- contrasts
The covariance matrix of the multivariate random walk model used for the time-varying coefficients are related to the contrasts if TRUE, on the actual number of days (all the days are driven by the same variance) if FALSE.
Examples
s <- log(ABS$X0.2.20.10.M)
td_timevarying(s)
#> Value: 75.04509
#> P-Value: 0.0000