formal_tests
Run formal hypothesis tests on fitted time series models to check near-unit-root, non-invertibility, and seasonality. Includes MEG test for stochastic vs deterministic seasonality.
Instructions
Run formal hypothesis tests on a fitted model.
Tests run (where applicable to the model structure):
Shin-Fuller (1998): Phi_1u test; H0: rho=1-4/n (near-unit-root); crit 5%≈1.75
DCD: non-invertibility of regular MA factors (H0: theta=1)
DCD_f: non-invertibility of seasonal MA factors (H0: lambda2=-1)
RV: fixed frequency for AR(2) factors
MEG: stochastic vs deterministic seasonality (requires D=0 + harmonics)
Parameters
inp_path : path to .inp or .pre file run_meg : whether to run MEG (slow, default True)
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| run_meg | No | ||
| inp_path | Yes |