gfun: Ait-Sahalia, Jacod & Li Jump Test Functions
In YalDan/hf.econometrics: High Frequency Econometrics
View source: R/AJL_Jump_Test_2012_functions.R
gfun R Documentation
Ait-Sahalia, Jacod & Li Jump Test Functions
Description
Helper functions for computing the Ait-Sahalia, Jacod & Li (2012) test
Usage
gfun(x)
Arguments
mfun
m(r) = E|N(0,1)|^r, see Jacod and Ait-Sahalia 2006 equation (10)
Vvec
The jth element, j=0,...,p/2, is V(Y,g,p-2j,j) = sum |Ybar|^(p-2j) Yhat^j
rho_tilde
The rho_tilde matrix in AJL2009
...
YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.
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View source: R/AJL_Jump_Test_2012_functions.R
| gfun | R Documentation |
Ait-Sahalia, Jacod & Li Jump Test Functions
Description
Helper functions for computing the Ait-Sahalia, Jacod & Li (2012) test
Usage
gfun(x)
Arguments
mfun |
m(r) = E|N(0,1)|^r, see Jacod and Ait-Sahalia 2006 equation (10) |
Vvec |
The jth element, j=0,...,p/2, is V(Y,g,p-2j,j) = sum |Ybar|^(p-2j) Yhat^j |
rho_tilde |
The rho_tilde matrix in AJL2009 |
... |
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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