vrtest: Variance Ratio Tests and Other Tests for Martingale Difference
Hypothesis
A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.
Version: |
1.0 |
Published: |
2022-07-02 |
Author: |
Jae H. Kim |
Maintainer: |
Jae H. Kim <jaekim8080 at gmail.com> |
License: |
GPL-2 |
NeedsCompilation: |
no |
In views: |
Finance |
CRAN checks: |
vrtest results |
Documentation:
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