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vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
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>.
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Package details |
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| Author | Jae H. Kim |
| Maintainer | Jae H. Kim <jaekim8080@gmail.com> |
| License | GPL-2 |
| Version | 1.2 |
| Package repository | View on CRAN |
| Installation |
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