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This function returns bootstrap p-values of the Lo-MacKilay (1988) and Chow-Denning (1993) tests.
Users can choose between iid bootstrap and wild bootstrap
Boot.test(y, kvec, nboot, wild, prob=c(0.025,0.975))
holding periods used
Bootstrap p-values for the Lo-MacKinlay tests
Bootstrap p-value for the Chow-Denning test
Confidence Intervals for Lo-Mackinlay tests from Bootstrap distribution
a vector of time series, typically financial return
a vector of holding periods
the number of bootstrap iterations
"No" for iid bootstrap, "Normal" for the wild bootstrap using the standard normal distribution, "Mammen" for the wild bootstrap using Mammen's two point distribution, "Rademacher" for the wild bootstrap using Rademacher's two point distribution
probability limits for confidence intervals
Jae H. Kim
Kim, J.H., 2006, Wild Bootstrapping Variance Ratio Tests. Economics Letters, 92, 38-43.
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
Boot.test(r,kvec,nboot=500,wild="Normal")
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