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vrtest (version 1.2)

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

863

Version

1.2

License

GPL-2

Maintainer

Jae Kim

Last Published

August 31st, 2023

Functions in vrtest (1.2)

vrtest-package

Variance Ratio tests and other tests for Martingale Difference Hypothesis
Lo.Mac

Lo-MacKinlay variance Ratio Tests
Wright.crit

Critical Values for Wright's rank and sign tests
exrates

wright's Exchange Rates Data
VR.minus.1

Absolute Value of (VR - 1)
Panel.VR

Panel Variance Ratio Tests
VR.plot

Variance Ratio Plot
AutoBoot.test

Wild Bootstrapping of Automatic Variance Ratio Test
Boot.test

Bootstrap Variance Ratio Tests
DL.test

Dominguez-Lobato Test for Martingale Difference Hypothesis
Chen.Deo

Power Transformed Joint Variance Ratio Test
Gen.Spec.Test

Generalized spectral Test
Chow.Denning

Chow-Denning Multiple Variance Ratio Tests
JWright.crit

Critical Values for the joint versions of Wright's rank and sign tests
Wald

Wald Test of Richardson and Smith (1991)
Ave.Ex

Average Exponential Tests
Wright

Wright's Rank and Sign Tests
Auto.Q

Automatic Portmanteau Test
Adjust.thin

Adjustment for thinly-traded returns
Joint.Wright

A Joint Version of Wight's Rank and Sign Test
Spec.shape

Spectral shape tests for random walk
Auto.VR

Automatic Variance Ratio Test
Subsample.test

Subsampling test of Whang and Kim (2003)