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vrtest (version 1.1)

Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

Description

A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) and automatic variance ratio test (Kim, 2009) .

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Version

Install

install.packages('vrtest')

Monthly Downloads

610

Version

1.1

License

GPL-2

Maintainer

Jae Kim

Last Published

September 5th, 2022

Functions in vrtest (1.1)

JWright.crit

Critical Values for the joint versions of Wright's rank and sign tests
Subsample.test

Subsampling test of Whang and Kim (2003)
Lo.Mac

Lo-MacKinlay variance Ratio Tests
Joint.Wright

A Joint Version of Wight's Rank and Sign Test
VR.minus.1

Absolute Value of (VR - 1)
VR.plot

Variance Ratio Plot
Wald

Wald Test of Richardson and Smith (1991)
Spec.shape

Spectral shape tests for random walk
Panel.VR

Panel Variance Ratio Tests
vrtest-package

Variance Ratio tests and other tests for Martingale Difference Hypothesis
Wright

Wright's Rank and Sign Tests
Wright.crit

Critical Values for Wright's rank and sign tests
exrates

wright's Exchange Rates Data
Gen.Spec.Test

Generalized spectral Test
DL.test

Dominguez-Lobato Test for Martingale Difference Hypothesis
Auto.VR

Automatic Variance Ratio Test
Auto.Q

Automatic Portmanteau Test
Chen.Deo

Power Transformed Joint Variance Ratio Test
Chow.Denning

Chow-Denning Multiple Variance Ratio Tests
Boot.test

Bootstrap Variance Ratio Tests
AutoBoot.test

Wild Bootstrapping of Automatic Variance Ratio Test
Adjust.thin

Adjustment for thinly-traded returns
Ave.Ex

Average Exponential Tests