delta test of linearity based on conditional mutual information
Usage
delta.lin(x, m, d = 1)
delta.lin.test(
x,
m = 2:3,
d = 1,
eps = seq(0.5 * sd(x), 2 * sd(x), length = 4),
B = 49
)
Value
delta.lin returns the parametrically estimated delta statistic
for the given time series (assuming linearity). delta.lin.test returns
the bootstrap based 1-sided p-value. The test statistic is the difference
between the parametric and nonparametric delta estimators.
Arguments
x
time series
m
vector of embedding dimensions
d
time delay
eps
vector of length scales
B
number of bootstrap replications
Author
Antonio, Fabio Di Narzo
Details
delta test of linearity based on conditional mutual information
References
Sebastiano Manzan, Essays in Nonlinear Economic Dynamics, Thela
Thesis (2003)