vrtest (version 0.97)

Gen.Spec.Test: Generalized spectral Test

Description

Generalized spectral Test

Usage

Gen.Spec.Test(y,B)

Arguments

y

financial return time series

B

the number of bootstrap iterations, the default is 300

Value

Pboot

wild bootstrap p-value of the test

References

Escanciano, J.C. and Velasco, C., 2006, Generalized Spectral Tests for the martigale Difference Hypothesis, Journal of Econometrics, 134, p151-185.

Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, in press.

Examples

r <- rnorm(100)        
Gen.Spec.Test(r)

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