vrtest (version 1.2)

Chen.Deo: Power Transformed Joint Variance Ratio Test

Description

See equation (15) of Chen and Deo (2006)

Usage

Chen.Deo(x, kvec)

Value

Holding.Period

holding periods used

VRsum

the sum of (power transformed individual VR - 1)

QPn

QPn statistic

ChiSQ.Quantiles_1_2_5_10_20_percent

Chi-square critical values

Arguments

x

a vector of time series, typically financial return

kvec

a vector of holding periods

Author

Jae H. Kim

References

Chen, W. W., and Deo, R.S., 2006, The Variance Ratio Statistic at Large Horizons, Econometric Theory, 22, 206-234.

Examples

data(exrates)
y <- exrates$ca                         
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])    
kvec <- c(2,5,10)
Chen.Deo(r,kvec)