durbinH: calculate Sortino Ratio of performance over downside risk

In JFE: Tools for Analyzing Time Series Data of Just Finance and Econometrics

calculate Sortino Ratio of performance over downside risk

Description

durbinH test the serial correlation of a dynamic regression, namely, a time series regression with AR(1) terms. It modifies Durbin-Watson statictic.

Usage

durbinH(model,Ly.label="ar1")

Arguments

model	Estimation result object by, for example, dynlm or arima
Ly.label	Label of AR(1) dependent variable

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Examples

  data(macrodata)
  y=ts(macrodata[,"OECD"],start=c(1961,1),freq=12) #OECD business cycle index

 out1=dynlm::dynlm(y~L(y,1)+season(y)+trend(y))
 durbinH(out1,Ly.label="L(y, 1)")

JFE documentation built on April 4, 2025, 5:19 a.m.