DL.test: Dominguez-Lobato Test for Martingale Difference Hypothesis
Description
Dominguez-Lobato Test
Usage
DL.test(y,B,p)
Value
Cp
Cramer von Mises test statistic
Kp
Kolmogorov-Smirnov test statistic
Cp_pval
wild bootstrap p-value of the Cp test
Kp_pval
wild bootstrap p-value of the Kp test
Arguments
y
financial return time series
B
the number of bootstrap iterations, the default is 300
p
the lag value, the default is 1
Author
Jae H. Kim
References
Domingues M.A. and Lobato, I. N., 2003, Testing the Martingale Difference Hypothesis, Econometrics Reviews, 22, p351-377.
Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110(2), 151-154.