Gen.Spec.Test: Generalized spectral Test
In vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
View source: R/Gen.Spec.Test.R
Gen.Spec.Test R Documentation
Generalized spectral Test
Description
Generalized spectral Test
Usage
Gen.Spec.Test(y,B)
Arguments
y
financial return time series
B
the number of bootstrap iterations, the default is 300
Value
Pboot
wild bootstrap p-value of the test
Author(s)
Jae H. Kim
References
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.
Examples
r <- rnorm(100)
Gen.Spec.Test(r)
vrtest documentation built on Aug. 31, 2023, 9:08 a.m.
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View source: R/Gen.Spec.Test.R
| Gen.Spec.Test | R Documentation |
Generalized spectral Test
Description
Generalized spectral Test
Usage
Gen.Spec.Test(y,B)
Arguments
y |
financial return time series |
B |
the number of bootstrap iterations, the default is 300 |
Value
Pboot |
wild bootstrap p-value of the test |
Author(s)
Jae H. Kim
References
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.
Examples
r <- rnorm(100)
Gen.Spec.Test(r)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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