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>.

Last updated 1 years ago

2.15 score 2 stars 70 scripts 626 downloads

GRS.test - GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation

Computational resources for test proposed by Gibbons, Ross, Shanken (1989)<DOI:10.2307/1913625>. It also has the functions for the power analysis and the choice of the optimal level of significance. The optimal level is determined by minimizing the expected loss from hypothesis testing.

Last updated 2 years ago

1.43 score 27 scripts 247 downloads

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

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

Last updated 1 years ago

1.40 score 25 scripts 414 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>.

Last updated 2 years ago

1.30 score 20 scripts 155 downloads

BootPR - Bootstrap Prediction Intervals and Bias-Corrected Forecasting

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

Last updated 1 years ago

1.08 score 12 scripts 469 downloads