vrtest (version 1.2)

Auto.Q: Automatic Portmanteau Test

Description

A robustified portmanteau test with automatic lag selection

Usage

Auto.Q(y,lags)

Value

Stat

Automatic portmanteau test statistic

Pvalue

p-value of the test

Arguments

y

financial return time series

lags

maximum lag value, the default is 10

Author

Jae H. Kim

References

Escanciano, J.C., Lobato, I.N. 2009a. An automatic portmanteau test for serial correlation. Journal of Econometrics 151, 140-149.

Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110(2), 151-154.

Examples

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