vrtest (version 0.97)

Wald: Wald Test of Richardson and Smith (1991)

Description

This function returns the Wald test statistic with critical values

Usage

Wald(y, kvec)

Arguments

y
a vector of time series, typically financial return
kvec
a vector of holding periods

Value

Holding.Periods
holding periods used
Wald.stat
Wald test statistic
Critical.Values_10_5_1_percent
10 5 and 1 percent critical values

References

Richardson, M., T. Smith, 1991, "Tests of Financial Models in the Presence of Overlapping Observations," The Review Financial Studies, 4, 227-254.

Examples

Run this code
data(exrates)
y <- exrates$ca                        
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])     
kvec <- c(2,5,10)
Wald(r,kvec) 

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