R/Auto.VR.R

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

Auto.VR <-
function(y)
{
    coe <- AR1(y)$ALPHA
    T <- length(y)
    lq <- ABEL1Q(T,coe)    
    vrsum <- 1
    for (i in 1:(T-1))
    {
    sum1 <- sum(y[1:(T-i)] * y[(1+i):T])
    sum1 <- sum1/(sum(y^2))
    vrsum <- vrsum + 2*kfunc(i/lq)*sum1
    }
vr <- sqrt(T/lq)*(vrsum - 1)/sqrt(2)
return(list(stat=vr,sum=vrsum))
}