Confidence Intervals for Lo-Mackinlay tests from Bootstrap distribution
Arguments
y
a vector of time series, typically financial return
kvec
a vector of holding periods
nboot
the number of bootstrap iterations
wild
"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
prob
probability limits for confidence intervals
Author
Jae H. Kim
References
Kim, J.H., 2006, Wild Bootstrapping Variance Ratio Tests. Economics Letters, 92, 38-43.