R: Osborn, Chui, Smith, and Birchenhall Test for Seasonal Unit...

ocsb.test {forecast} | R Documentation

## Osborn, Chui, Smith, and Birchenhall Test for Seasonal Unit Roots

### Description

An implementation of the Osborn, Chui, Smith, and Birchenhall (OCSB) test.

### Usage

    ocsb.test(x, lag.method = c("fixed", "AIC", "BIC", "AICc"), maxlag = 0)

### Arguments

`x` | a univariate seasonal time series.
`lag.method` | a character specifying the lag order selection method.
`maxlag` | the maximum lag order to be considered by `lag.method`.

### Details

The regression equation may include lags of the dependent variable. When lag.method = "fixed", the lag order is fixed to maxlag; otherwise, maxlag is the maximum number of lags considered in a lag selection procedure that minimises the lag.method criterion, which can be AIC or BIC or corrected AIC, AICc, obtained as AIC + (2k(k+1))/(n-k-1), where k is the number of parameters and n is the number of available observations in the model.

Critical values for the test are based on simulations, which has been smoothed over to produce critical values for all seasonal periods.

### Value

ocsb.test returns a list of class "OCSBtest" with the following components: * statistics the value of the test statistics. * pvalues the p-values for each test statistics. * method a character string describing the type of test. * data.name a character string giving the name of the data. * fitted.model the fitted regression model.

### References

Osborn DR, Chui APL, Smith J, and Birchenhall CR (1988) "Seasonality and the order of integration for consumption", Oxford Bulletin of Economics and Statistics 50(4):361-377.

### See Also

`nsdiffs`

### Examples

    ocsb.test(AirPassengers)

[Package forecast version 8.12 Index]