Ave.Ex

Average exponential tests of Andrews and Ploberger (1996)

 htest

A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.

Jae Kim

vrtest

Variance Ratio Tests and Other Tests for Martingale Difference
Hypothesis

Ave.Ex function

<dl> <dt>y</dt>
<dd>financial return time series</dd></dl>

Arguments

Author

Average Exponential Tests — Ave.Ex

<dl>

 <dt>y</dt>
<dd>financial return time series</dd>

</dl>

Ave.Ex: Average Exponential Tests

Description

Usage

Value

Arguments

Author

References

Examples