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Variance Ratio tests and other tests for Martingale Difference Hypothesis

A collection of statistical tests for martingale difference hypothesis

Functions in vrtest

Name Description
Wright.crit Critical Values for Wright's rank and sign tests
AutoBoot.test Wild Bootstrapping of Automatic Variance Ratio Test
Chen.Deo Power Transformed Joint Variance Ratio Test
Joint.Wright A Joint Version of Wight's Rank and Sign Test
JWright.crit Critical Values for the joint versions of Wright's rank and sign tests
Panel.VR Panel Variance Ratio Tests
Auto.VR Automatic Variance Ratio Test
Subsample.test Subsampling test of Whang and Kim (2003)
exrates wright's Exchange Rates Data
Boot.test Bootstrap Variance Ratio Tests
VR.minus.1 Absolute Value of (VR - 1)
Ave.Ex Average Exponential Tests
Auto.Q Automatic Portmanteau Test
Lo.Mac Lo-MacKinlay variance Ratio Tests
Adjust.thin Adjustment for thinly-traded returns
DL.test Dominguez-Lobato Test for Martingale Difference Hypothesis
vrtest-package Variance Ratio tests and other tests for Martingale Difference Hypothesis
Wald Wald Test of Richardson and Smith (1991)
Spec.shape Spectral shape tests for random walk
Chow.Denning Chow-Denning Multiple Variance Ratio Tests
Gen.Spec.Test Generalized spectral Test
Wright Wright's Rank and Sign Tests
VR.plot Variance Ratio Plot
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Details

Type Package
Date 2014-08-10
License GPL-2
Packaged 2014-08-10 10:44:28 UTC; jkim
NeedsCompilation no
Repository CRAN
Date/Publication 2014-08-10 13:36:11
Contributors Jae Kim

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