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 |

**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

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
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