vrtest (version 0.97)

Chen.Deo: Power Transformed Joint Variance Ratio Test

Description

See equation (15) of Chen and Deo (2006)

Usage

Chen.Deo(x, kvec)

Arguments

x

a vector of time series, typically financial return

kvec

a vector of holding periods

Value

Holding.Period

holding periods used

VRsum

the sum of (power transformed individual VR - 1)

QPn

QPn statistic

ChiSQ.Quantiles_1_2_5_10_20_percent

Chi-square critical values

References

Chen, W. W., and Deo, R.S., 2006, The Variance Ratio Statistic at Large Horizons, Econometric Theory, 22, 206-234.

Examples

data(exrates)
y <- exrates$ca                         
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])    
kvec <- c(2,5,10)
Chen.Deo(r,kvec)