Gen.Spec.Test

  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

Gen.Spec.Test function

<dl> <dt>y</dt>
<dd>financial return time series</dd> <dt>B</dt>
<dd>the number of bootstrap iterations, the default is 300</dd></dl>

Arguments

Author

Generalized spectral Test — Gen.Spec.Test

<dl>

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

 <dt>B</dt>
<dd>the number of bootstrap iterations, the default is 300</dd>

</dl>

Gen.Spec.Test: Generalized spectral Test

Description

Usage

Value

Arguments

Author

References

Examples