vrtest v0.97
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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 | |
| No Results! | ||
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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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