nonlinearTseries: thresholdTest – R documentation

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thresholdTest

Threshold nonlinearity test

Computes the likelihood ratio test for threshold nonlinearity with H0 being an AR process and H1 a TAR model.

thresholdTest(
  time.series,
  p,
  d = 1,
  lower.percent = 0.25,
  upper.percent = 0.75
)

`time.series`	The original time.series.
`p`	The order of the AR process.
`d`	Delay used for the threshold value in the TAR process.
`lower.percent`	The threshold value is searched over an interval defined by lower.percent and upper.percent of the time series values. This defines the lower percent.
`upper.percent`	The threshold value is searched over an interval defined by lower.percent and upper.percent of the time series values. This defines the upper percent.

A list containing

p.value: p-value of the test
test.statistic: Likelihood ratio test statistic.
percentiles: Since the search for the threshold parameter may occur in a narrower interval than the one specified by the user, the effective lower and upper percents are returned here.

Adapted from the tlrt function of the TSA package.

Kung-Sik Chan

Chan, K.S. (1990). Percentage points of likelihood ratio tests for threshold autoregression. Journal of Royal Statistical Society, B 53, 3, 691-696.