A variance ratio test with holding period value chosen by a data dependent procedure

1 | ```
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.

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