Wald | R Documentation |
This function returns the Wald test statistic with critical values
Wald(y, kvec)
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Holding.Periods |
holding periods used |
Wald.stat |
Wald test statistic |
Critical.Values_10_5_1_percent |
10 5 and 1 percent critical values |
The statistic asymptotically follows the chi-squared distribution with the degrees of freedom same as the number of holding periods used
Jae H. Kim
Richardson, M., T. Smith, 1991, "Tests of Financial Models in the Presence of Overlapping Observations," The Review Financial Studies, 4, 227-254.
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)
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