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testcorr: Testing Zero Correlation
Computes the test statistics for examining the significance of autocorrelation in univariate time series, cross-correlation in bivariate time series, Pearson correlations in multivariate series and test statistics for i.i.d. property of univariate series given in Dalla, Giraitis and Phillips (2022), <https://www.cambridge.org/core/journals/econometric-theory/article/abs/robust-tests-for-white-noise-and-crosscorrelation/4D77C12C52433F4C6735E584C779403A>, <https://elischolar.library.yale.edu/cowles-discussion-paper-series/57/>.
Getting started
Browse package contents
Package details |
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| Author | Violetta Dalla [aut, cre], Liudas Giraitis [aut], Peter C. B. Phillips [aut] |
| Maintainer | Violetta Dalla <vidalla@econ.uoa.gr> |
| License | GPL-3 |
| Version | 0.4.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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