vrtest: Variance Ratio tests and other tests for Martingale Difference Hypothesis

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A collection of statistical tests for martingale difference hypothesis

Author
Jae H. Kim
Date of publication
2014-08-10 13:36:11
Maintainer
Jae H. Kim <J.Kim@latrobe.edu.au>
License
GPL-2
Version
0.97

View on CRAN

Man pages

Adjust.thin
Adjustment for thinly-traded returns
AutoBoot.test
Wild Bootstrapping of Automatic Variance Ratio Test
Auto.Q
Automatic Portmanteau Test
Auto.VR
Automatic Variance Ratio Test
Ave.Ex
Average Exponential Tests
Boot.test
Bootstrap Variance Ratio Tests
Chen.Deo
Power Transformed Joint Variance Ratio Test
Chow.Denning
Chow-Denning Multiple Variance Ratio Tests
DL.test
Dominguez-Lobato Test for Martingale Difference Hypothesis
exrates
wright's Exchange Rates Data
Gen.Spec.Test
Generalized spectral Test
Joint.Wright
A Joint Version of Wight's Rank and Sign Test
JWright.crit
Critical Values for the joint versions of Wright's rank and...
Lo.Mac
Lo-MacKinlay variance Ratio Tests
Panel.VR
Panel Variance Ratio Tests
Spec.shape
Spectral shape tests for random walk
Subsample.test
Subsampling test of Whang and Kim (2003)
VR.minus.1
Absolute Value of (VR - 1)
VR.plot
Variance Ratio Plot
vrtest-package
Variance Ratio tests and other tests for Martingale...
Wald
Wald Test of Richardson and Smith (1991)
Wright
Wright's Rank and Sign Tests
Wright.crit
Critical Values for Wright's rank and sign tests

Files in this package

vrtest
vrtest/NAMESPACE
vrtest/data
vrtest/data/exrates.rda
vrtest/R
vrtest/R/Lo.Mac.R
vrtest/R/FastVR.R
vrtest/R/Adjust.thin.R
vrtest/R/FastLM_stat.R
vrtest/R/compweexp.R
vrtest/R/Wright_stat.R
vrtest/R/DLtest.R
vrtest/R/Spec.shape.R
vrtest/R/VR.plot.R
vrtest/R/Boot.test.R
vrtest/R/LMCD.R
vrtest/R/IACM.R
vrtest/R/Subsample.test.R
vrtest/R/Wald1.R
vrtest/R/DL.test.R
vrtest/R/JWright.crit.R
vrtest/R/Joint.Wright.R
vrtest/R/stat.plot.R
vrtest/R/VR.minus.1.R
vrtest/R/Ave.Ex.R
vrtest/R/Wright.crit.R
vrtest/R/WK_stat2.R
vrtest/R/AR1.R
vrtest/R/Chow.Denning.R
vrtest/R/FastLMCD.R
vrtest/R/Auto.VR.R
vrtest/R/Auto.Q.R
vrtest/R/stat.R
vrtest/R/Mammen.R
vrtest/R/LM_stat.R
vrtest/R/kfunc.R
vrtest/R/Wald.R
vrtest/R/WK_stat1.R
vrtest/R/AutoBoot.test.R
vrtest/R/ISIMP.R
vrtest/R/Panel.VR.R
vrtest/R/covmat.R
vrtest/R/ABEL1Q.R
vrtest/R/Chen.Deo.R
vrtest/R/Wright.R
vrtest/R/Gen.Spec.Test.R
vrtest/R/Rademacher.R
vrtest/MD5
vrtest/DESCRIPTION
vrtest/man
vrtest/man/Chow.Denning.Rd
vrtest/man/Panel.VR.Rd
vrtest/man/Boot.test.Rd
vrtest/man/Adjust.thin.Rd
vrtest/man/Chen.Deo.Rd
vrtest/man/Lo.Mac.Rd
vrtest/man/Ave.Ex.Rd
vrtest/man/AutoBoot.test.Rd
vrtest/man/vrtest-package.Rd
vrtest/man/exrates.Rd
vrtest/man/Auto.VR.Rd
vrtest/man/Subsample.test.Rd
vrtest/man/Auto.Q.Rd
vrtest/man/Gen.Spec.Test.Rd
vrtest/man/Wald.Rd
vrtest/man/VR.plot.Rd
vrtest/man/Joint.Wright.Rd
vrtest/man/Spec.shape.Rd
vrtest/man/VR.minus.1.Rd
vrtest/man/DL.test.Rd
vrtest/man/Wright.crit.Rd
vrtest/man/Wright.Rd
vrtest/man/JWright.crit.Rd