View source: R/Gen.Spec.Test.R
Gen.Spec.Test | R Documentation |
Generalized spectral Test
Gen.Spec.Test(y,B)
y |
financial return time series |
B |
the number of bootstrap iterations, the default is 300 |
Pboot |
wild bootstrap p-value of the test |
Jae H. Kim
Escanciano, J.C. and Velasco, C., 2006, Generalized Spectral Tests for the martigale Difference Hypothesis, Journal of Econometrics, 134, p151-185.
Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110(2), 151-154.
r <- rnorm(100)
Gen.Spec.Test(r)
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