Package: vrtest 1.2

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>.

Authors:Jae H. Kim

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21 exports 2 stars 0.36 score 0 dependencies 63 scripts 772 downloads

Last updated 1 years agofrom:0044385468. Checks:OK: 7. Indexed: yes.

Exports:Adjust.thinAuto.QAuto.VRAutoBoot.testAve.ExBoot.testChen.DeoChow.DenningDL.testGen.Spec.TestJoint.WrightJWright.critLo.MacPanel.VRSpec.shapeSubsample.testVR.minus.1VR.plotWaldWrightWright.crit

Dependencies: