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

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

## Arguments

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

## 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.

## 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.

## 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.

nsdiffs

## Examples

ocsb.test(AirPassengers)
#>
#> 	OCSB test
#>
#> data:  AirPassengers
#>
#> Test statistic: 1.5188, 5% critical value: -1.803
#> alternative hypothesis: stationary
#>
#> Lag order 0 was selected using fixed