Tsay's test
Tsay's test: test for nonlinearity against the null hypothesis that the time series follows some AR process. This is a generalization of Keenan's test.
tsayTest(time.series, order)
time.series |
The original time.series. |
order |
Order used for the AR model. |
A list containing the results of the test, including:
test.stat: the F-squared test statistic
p.value.
order: order of the AR process used for testing.
Tsay, R. S. (1986), Nonlinearity test for time series, Biometrika, 73, 461-466.
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.