Ave.Ex: Average Exponential Tests

Description Usage Arguments Value Note Author(s) References Examples

View source: R/Ave.Ex.R

Description

Average exponential tests of Andrews and Ploberger (1996)

Usage

1
Ave.Ex(y)

Arguments

y

financial return time series

Value

Ex.LM

LM test

Ex.LR

LR test

Note

Traslated from Choi's Gauss codes

Author(s)

Jae H. Kim

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293-308.

Examples

1
2
3
4
5
data(exrates)
y <- exrates$ca                      
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])   
Ave.Ex(r)

vrtest documentation built on May 1, 2019, 6:30 p.m.