AJ_JumpTest: Ait-Sahalia & Jacod Jump Test (2012)
In YalDan/hf.econometrics: High Frequency Econometrics
View source: R/AJ_JumpTest_2012.R
AJ_JumpTest R Documentation
Ait-Sahalia & Jacod Jump Test (2012)
Description
Calculates the jump test statistic and test for finite activity as per Ait-Sahalia & Jacod (2012)
Usage
AJ_JumpTest(DATA, alpha = 0.1)
Arguments
DATA
A data.table with structure as provided in the example.
Value
Returns the parameter grid and limits for the tests for jumps and for finite jump activity.
YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.
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View source: R/AJ_JumpTest_2012.R
| AJ_JumpTest | R Documentation |
Ait-Sahalia & Jacod Jump Test (2012)
Description
Calculates the jump test statistic and test for finite activity as per Ait-Sahalia & Jacod (2012)
Usage
AJ_JumpTest(DATA, alpha = 0.1)
Arguments
DATA |
A data.table with structure as provided in the example. |
Value
Returns the parameter grid and limits for the tests for jumps and for finite jump activity.
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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