R语言 vars包 serial.test()函数中文帮助文档(中英文对照)

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serial.test(vars)
serial.test()所属R语言包：vars

                                        Test for serially correlated errors
                                         测试序列相关的错误

                                         译者：生物统计家园网 机器人LoveR

描述----------Description----------

This function computes the multivariate Portmanteau- and Breusch-Godfrey test for serially correlated errors.
此函数计算多元混成，和Breusch-戈弗雷的测试序列相关的错误。


用法----------Usage----------


serial.test(x, lags.pt = 16, lags.bg = 5, type = c("PT.asymptotic",
"PT.adjusted", "BG", "ES") )



参数----------Arguments----------

参数：x
Object of class "varest"; generated by VAR(), or an object of class "vec2var"; generated by vec2var().   
类的对象varest所产生的VAR()，或对象类的vec2var所产生的vec2var()。


参数：lags.pt
An integer specifying the lags to be used for the Portmanteau statistic.
一个整数，指定要使用的的混成统计的滞后。


参数：lags.bg
An integer specifying the lags to be used for the Breusch-Godfrey statistic.
一个整数，指定的滞后用于Breusch戈弗雷统计。


参数：type
Character, the type of test. The default is an asymptotic Portmanteau test.
字符，测试的类型。默认值是一个渐进的混成测试。


Details

详细信息----------Details----------

The Portmanteau statistic for testing the absence of up to the order h serially correlated disturbances in a stable VAR(p) is defined as:
混成进行测试的情况下，最多的顺序统计h序列相关的扰动在一个稳定的VAR（对）被定义为：

where \hat{C}_i = \frac{1}{T}∑_{t = i + 1}^T \bold{\hat{u}}_t     \bold{\hat{u}}_{t - i}'. The test statistic is approximately distributed as χ^2(K^2(h - p)). This test statistic is choosen by setting type = "PT.asymptotic". For smaller sample sizes and/or values of h that are not sufficiently large, a corrected test statistic is computed as:
\hat{C}_i = \frac{1}{T}∑_{t = i + 1}^T \bold{\hat{u}}_t     \bold{\hat{u}}_{t - i}'。检验统计量大约是分布χ^2(K^2(h - p))。该检验统计量choosen通过设置type = "PT.asymptotic"。对于规模较小的样本量和/或值的h不够大，修正后的检验统计量的计算为：

This test statistic can be accessed, if type = "PT.adjusted" is set.<br>  
该检验统计量可以访问，如果type = "PT.adjusted"设置。<BR>

The Breusch-Godfrey LM-statistic is based upon the following auxiliary regressions:
Breusch-戈弗雷LM-统计数字是根据下面的辅助回归：

The null hypothesis is: H_0: B_1 = &hellip; = B_h = 0 and correspondingly the alternative hypothesis is of the form H_1:     \exists \; B_i \ne 0 for i = 1, 2, &hellip;, h. The test statistic is defined as:
零假设是：H_0: B_1 = &hellip; = B_h = 0“和相应的备择假设的形式H_1:     \exists \; B_i \ne 0i = 1, 2, &hellip;, h。的检验统计量的定义为：

where \tilde{&Sigma;}_R and \tilde{&Sigma;}_e assign the residual covariance matrix of the restricted and unrestricted model, respectively. The test statistic LM_h is distributed as &chi;^2(hK^2). This test statistic is calculated if type =     "BG" is used.<br>
\tilde{&Sigma;}_R和\tilde{&Sigma;}_e分配剩余的协方差矩阵的限制和不受限制的模型，分别。检验统计量LM_h分布&chi;^2(hK^2)。该检验统计量的计算方法type =     "BG"。<BR>

Edgerton and Shukur (1999) proposed a small sample correction, which is defined as:
埃杰顿和Shukur（1999）提出了一个小的样品校正，它被定义为：

with R_r^2 = 1 - |\tilde{&Sigma;}_e | / |\tilde{&Sigma;}_R|, r = ((K^2m^2 - 4)/(K^2 + m^2 - 5))^{1/2}, q = 1/2 K m - 1 and N = T - K - m - 1/2(K - m + 1), whereby n is the number of regressors in the original system and m = Kh. The modified test statistic is distributed as F(hK^2, int(Nr -     q)). This modified statistic will be returned, if type =     "ES" is provided in the call to serial().   
R_r^2 = 1 - |\tilde{&Sigma;}_e | / |\tilde{&Sigma;}_R|，r = ((K^2m^2 - 4)/(K^2 + m^2 - 5))^{1/2}，q = 1/2 K m - 1和N = T - K - m - 1/2(K - m + 1)，即n是在原有系统中的回归系数和m = Kh。修改后的检验统计量分布F(hK^2, int(Nr -     q))。此修改后的统计信息将被退回，如果type =     "ES"在调用serial()。


值----------Value----------

A list with class attribute "varcheck" holding the following elements:<br>
类属性varcheck持下列元素：参考列表


参数：resid
A matrix with the residuals of the VAR.
一个矩阵的残差的VAR。


参数：pt.mul
A list with objects of class attribute "htest" containing the multivariate Portmanteau-statistic (asymptotic and adjusted.
一个列表对象的类属性htest包含多元混成统计（渐近调整。


参数：LMh
An object with class attribute "htest" containing the Breusch-Godfrey LM-statistic.
一个对象类的属性htest包含Breusch-戈弗雷LM-统计。


参数：LMFh
An object with class attribute "htest" containing the Edgerton-Shukur F-statistic.   
对象类属性htest包含的埃杰顿Shukur F-统计。


注意----------Note----------

This function was named serial in earlier versions of package vars; it is now deprecated. See vars-deprecated too.
此功能被命名为serial在早期版本的包vars;它现在已经过时。见vars-deprecated太。


（作者）----------Author(s)----------


Bernhard Pfaff



参考文献----------References----------

models, Australian Economic Papers, 17: 334-355.
system perspective, Econometric Reviews, 18: 43-386.
regression equations when the regressors include lagged dependent variables, Econometrica, 46: 1303-1313.
University Press, Princeton.
Analysis, Springer, New York.

参见----------See Also----------

VAR, vec2var, plot
VAR，vec2var，plot


实例----------Examples----------


data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
serial.test(var.2c, lags.pt = 16, type = "PT.adjusted")

转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。


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