Spec.shape: Spectral shape tests for random walk

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

Spectral shape tests for random walk

Description

Spectral Shape tests proposed by Durlauf (1991) and Choi (1999)

Usage

Spec.shape(x)

Arguments

x	financial return time series

Value

AD	Anderson-Darling statistic
CVM	Cramer-von Mises statistic
M	Mellows statistic

Note

Traslated from Choi's Gauss codes

Author(s)

Jae H. Kim

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293-308. Durlauf, S. N., 1991, Spectral based testing of the martingale hypothesis, Journal of Econometrics, 50, 355-376.

Examples

data(exrates)
y <- exrates$ca                   
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])     
Spec.shape(r)

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