DL.test: Dominguez-Lobato Test for Martingale Difference Hypothesis

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

Dominguez-Lobato Test for Martingale Difference Hypothesis

Description

Dominguez-Lobato Test

Usage

DL.test(y,B,p)

Arguments

y	financial return time series
B	the number of bootstrap iterations, the default is 300
p	the lag value, the default is 1

Value

Cp	Cramer von Mises test statistic
Kp	Kolmogorov-Smirnov test statistic
Cp_pval	wild bootstrap p-value of the Cp test
Kp_pval	wild bootstrap p-value of the Kp test

Author(s)

Jae H. Kim

References

Domingues M.A. and Lobato, I. N., 2003, Testing the Martingale Difference Hypothesis, Econometrics Reviews, 22, p351-377.

Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110(2), 151-154.

Examples

r <- rnorm(50)           
DL.test(r,B=100)
# B=100 is used for fast execution in the example. 
# Use a higher number in actual application

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