Ave.Ex: Average Exponential Tests
In vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
Ave.Ex R Documentation
Average Exponential Tests
Description
Average exponential tests of Andrews and Ploberger (1996)
Usage
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
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
Ave.Ex(r)
vrtest documentation built on Aug. 31, 2023, 9:08 a.m.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| Ave.Ex | R Documentation |
Average Exponential Tests
Description
Average exponential tests of Andrews and Ploberger (1996)
Usage
Ave.Ex(y)
Arguments
y |
financial return time series |
Value
Ex.LM |
LM test |
Ex.LR |
LR test |
Note
Traslated from Choi's Gauss codes
Author(s)
Jae H. Kim
References
Choi, I. 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293-308.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
Ave.Ex(r)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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