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 (2020), <https://cowles.yale.edu/sites/default/files/files/pub/d21/d2194-r.pdf>.

Package details

AuthorVioletta Dalla, Liudas Giraitis and Peter C. B. Phillips
MaintainerVioletta Dalla <vidalla@econ.uoa.gr>
Package repositoryView on CRAN
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testcorr documentation built on April 5, 2021, 5:06 p.m.