Chow.Denning: Chow-Denning Multiple Variance Ratio Tests

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

Chow-Denning Multiple Variance Ratio Tests

Description

This function returns Chow-Denning test statistics.

CD1: test for iid series; CD2: test for uncorrelated series with possible heteroskedasticity.

Usage

Chow.Denning(y, kvec)

Arguments

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

Value

Holding.Periods	holding periods used
CD1	CD1 statistic
CD2	CD2 statistic
Critical.Values_10_5_1_percent	10 5 1 percent critical values

Note

See Chow and Denning (1993) for the details of critical value calculation

Author(s)

Jae H. Kim

References

Chow,K. V., K. C. DENNING, 1993, A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.

Examples

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

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