vrtest (version 1.2)

Chow.Denning: Chow-Denning Multiple Variance Ratio Tests

Description

This function returns Chow-Denning test statistics.

CD1: test for iid series; CD2: test for uncorrelated series with possible heteroskedasticity.

Usage

Chow.Denning(y, kvec)

Value

Holding.Periods

holding periods used

CD1

CD1 statistic

CD2

CD2 statistic

Critical.Values_10_5_1_percent

10 5 1 percent critical values

Arguments

y

a vector of time series, typically financial return

kvec

a vector of holding periods

Author

Jae H. Kim

References

Chow,K. V., K. C. DENNING, 1993, A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.

Examples

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