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vrtest (version 0.97)
Variance Ratio tests and other tests for Martingale Difference Hypothesis
Description
A collection of statistical tests for martingale difference hypothesis
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Install
install.packages('vrtest')
Monthly Downloads
557
Version
0.97
License
GPL-2
Maintainer
Jae H Kim
Last Published
August 10th, 2014
Functions in vrtest (0.97)
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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