vrtest (version 0.97)

Panel.VR: Panel Variance Ratio Tests

Description

Panel variance tatio tests based on Maximum Absloute Value, Sum of Squares, and Mean of each cross-sectional units

Usage

Panel.VR(dat, nboot = 500)

Arguments

dat

a T by K matrix of asset returns, K is the munber of cross sectional units and T is length of time series

nboot

the number of wild bootstrap iterations, the default is set to 500

Value

• MaxAbs.stat
  the statistic based on the maximum absolute value of individual statistics
• SumSquare.stat
  the statistic based on the sum of squared value of individual statistics
• Mean.stat
  the statistic based on the mean value of individual statistics
• MaxAbs.pval
  the wild bootstrap pvalue based on the maximum absolute value of individual statistics
• SumSquare.pval
  the wild bootstrap pvalue based on the sum of squared value of individual statistics
• Mean.pval
  the wild bootstrap pvalue based on the mean value of individual statistics

Details

The component statistics are based on the automatic variance ratio test The set of returns are wild bootstrapped to conserve cross-sectional dependency

References

Kim, Jae H. and Shamsuddin, Abul, A Closer Look at Return Predictability of the US Stock Market: Evidence from a Panel Variance Ratio Test (February 13, 2013). Available at SSRN: http://ssrn.com/abstract=2217248 or http://dx.doi.org/10.2139/ssrn.2217248

Examples

ret=matrix(rnorm(200),nrow=100)
Panel.VR(ret)