vrtest (version 0.97)

Spec.shape: Spectral shape tests for random walk

Description

Spectral Shape tests proposed by Durlauf (1991) and Choi (1999)

Usage

Spec.shape(x)

Arguments

x

financial return time series

Value

AD

Anderson-Darling statistic

CVM

Cramer-von Mises statistic

M

Mellows statistic

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293-308. Durlauf, S. N., 1991, Spectral based testing of the martingale hypothesis, Journal of Econometrics, 50, 355-376.

Examples

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