tsDyn (version 11.0.4)

delta.lin: delta test of linearity

Description

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)

Examples

delta.lin(log10(lynx), m=3)