R-universe - jh8080 (Jae Kim)

vrtest - Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.

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2.22 score 2 stars 83 scripts 634 downloads

VAR.etp - VAR Modelling: Estimation, Testing, and Prediction

A collection of the functions for estimation, hypothesis testing, prediction for stationary vector autoregressive models.

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1.51 score 32 scripts 331 downloads

OptSig - Optimal Level of Significance for Regression and Other Statistical Tests

The optimal level of significance is calculated based on a decision-theoretic approach. The optimal level is chosen so that the expected loss from hypothesis testing is minimized. A range of statistical tests are covered, including the test for the population mean, population proportion, and a linear restriction in a multiple regression model. The details are covered in Kim and Choi (2020) <doi:10.1111/abac.12172>, and Kim (2021) <doi:10.1080/00031305.2020.1750484>.

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1.30 score 20 scripts 175 downloads

BootPR - Bootstrap Prediction Intervals and Bias-Corrected Forecasting

Contains functions for bias-Corrected Forecasting and Bootstrap Prediction Intervals for Autoregressive Time Series.

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1.08 score 12 scripts 333 downloads