vrtest: Variance Ratio tests and other tests for Martingale Difference Hypothesis
Version 0.97

A collection of statistical tests for martingale difference hypothesis

AuthorJae H. Kim
Date of publication2014-08-10 13:36:11
MaintainerJae H. Kim <J.Kim@latrobe.edu.au>
LicenseGPL-2
Version0.97
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("vrtest")

Getting started

Package overview

Popular man pages

Boot.test: Bootstrap Variance Ratio Tests
Chow.Denning: Chow-Denning Multiple Variance Ratio Tests
Gen.Spec.Test: Generalized spectral Test
Lo.Mac: Lo-MacKinlay variance Ratio Tests
Panel.VR: Panel Variance Ratio Tests
VR.plot: Variance Ratio Plot
Wald: Wald Test of Richardson and Smith (1991)
See all...

All man pages Function index File listing

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

Functions

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

Files

NAMESPACE
data
data/exrates.rda
R
R/Lo.Mac.R
R/FastVR.R
R/Adjust.thin.R
R/FastLM_stat.R
R/compweexp.R
R/Wright_stat.R
R/DLtest.R
R/Spec.shape.R
R/VR.plot.R
R/Boot.test.R
R/LMCD.R
R/IACM.R
R/Subsample.test.R
R/Wald1.R
R/DL.test.R
R/JWright.crit.R
R/Joint.Wright.R
R/stat.plot.R
R/VR.minus.1.R
R/Ave.Ex.R
R/Wright.crit.R
R/WK_stat2.R
R/AR1.R
R/Chow.Denning.R
R/FastLMCD.R
R/Auto.VR.R
R/Auto.Q.R
R/stat.R
R/Mammen.R
R/LM_stat.R
R/kfunc.R
R/Wald.R
R/WK_stat1.R
R/AutoBoot.test.R
R/ISIMP.R
R/Panel.VR.R
R/covmat.R
R/ABEL1Q.R
R/Chen.Deo.R
R/Wright.R
R/Gen.Spec.Test.R
R/Rademacher.R
MD5
DESCRIPTION
man
man/Chow.Denning.Rd
man/Panel.VR.Rd
man/Boot.test.Rd
man/Adjust.thin.Rd
man/Chen.Deo.Rd
man/Lo.Mac.Rd
man/Ave.Ex.Rd
man/AutoBoot.test.Rd
man/vrtest-package.Rd
man/exrates.Rd
man/Auto.VR.Rd
man/Subsample.test.Rd
man/Auto.Q.Rd
man/Gen.Spec.Test.Rd
man/Wald.Rd
man/VR.plot.Rd
man/Joint.Wright.Rd
man/Spec.shape.Rd
man/VR.minus.1.Rd
man/DL.test.Rd
man/Wright.crit.Rd
man/Wright.Rd
man/JWright.crit.Rd
vrtest documentation built on May 19, 2017, 6:45 a.m.