Auto.VR | R Documentation |
A variance ratio test with holding period value chosen by a data dependent procedure
Auto.VR(y)
y |
financial return time series |
stat |
Automatic variance ratio test statistic |
sum |
1+ weighted sum of autocorrelation up to the optimal order |
R code translated from Choi's GAUSS code
Jae H. Kim
Choi, I. 1999, Testing the random walk hypothesis for real exchange rates Journal of Applied Econometrics, 14, 293-308.
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
Auto.VR(r)
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