Wald: Wald Test of Richardson and Smith (1991)

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

Wald Test of Richardson and Smith (1991)

Description

This function returns the Wald test statistic with critical values

Usage

Wald(y, kvec)

Arguments

y	a vector of time series, typically financial return
kvec	a vector of holding periods

Value

Holding.Periods	holding periods used
Wald.stat	Wald test statistic
Critical.Values_10_5_1_percent	10 5 and 1 percent critical values

Note

The statistic asymptotically follows the chi-squared distribution with the degrees of freedom same as the number of holding periods used

Author(s)

Jae H. Kim

References

Richardson, M., T. Smith, 1991, "Tests of Financial Models in the Presence of Overlapping Observations," The Review Financial Studies, 4, 227-254.

Examples

data(exrates)
y <- exrates$ca                        
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])     
kvec <- c(2,5,10)
Wald(r,kvec) 

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