Chen.Deo: Power Transformed Joint Variance Ratio Test

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

Power Transformed Joint Variance Ratio Test

Description

See equation (15) of Chen and Deo (2006)

Usage

Chen.Deo(x, kvec)

Arguments

x	a vector of time series, typically financial return
kvec	a vector of holding periods

Value

Holding.Period	holding periods used
VRsum	the sum of (power transformed individual VR - 1)
QPn	QPn statistic
ChiSQ.Quantiles_1_2_5_10_20_percent	Chi-square critical values

Author(s)

Jae H. Kim

References

Chen, W. W., and Deo, R.S., 2006, The Variance Ratio Statistic at Large Horizons, Econometric Theory, 22, 206-234.

Examples

data(exrates)
y <- exrates$ca                         
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])    
kvec <- c(2,5,10)
Chen.Deo(r,kvec)

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