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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