vrtest (version 0.97)

Ave.Ex: Average Exponential Tests

Description

Average exponential tests of Andrews and Ploberger (1996)

Usage

Ave.Ex(y)

Arguments

y

financial return time series

Value

Ex.LM

LM test

Ex.LR

LR test

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293-308.

Examples

data(exrates)
y <- exrates$ca                      
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])   
Ave.Ex(r)