Auto.Q: Automatic Portmanteau Test

In vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

Automatic Portmanteau Test

Description

A robustified portmanteau test with automatic lag selection

Usage

Auto.Q(y,lags)

Arguments

y	financial return time series
lags	maximum lag value, the default is 10

Value

Stat	Automatic portmanteau test statistic
Pvalue	p-value of the test

Author(s)

Jae H. Kim

References

Escanciano, J.C., Lobato, I.N. 2009a. An automatic portmanteau test for serial correlation. Journal of Econometrics 151, 140-149.

Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110(2), 151-154.

Examples

data(exrates)
y <- exrates$ca                          
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])    
Auto.Q(r)

vrtest documentation built on Aug. 31, 2023, 9:08 a.m.