vrtest-package

vrtest

A collection of variance ratio and spectral shapte tests

  htest  

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>.

Jae Kim

Variance Ratio Tests and Other Tests for Martingale Difference
Hypothesis

vrtest-package function

Jae H. Kim
Maintainer: Jae H. Kim &lt;J.Kim@latrobe.edu.au&gt;

Package:	vrtest
Type:	Package
Version:	0.97
Date:	2014-08-10
License:	GPL-2

vrtest-package: Variance Ratio tests and other tests for Martingale Difference Hypothesis

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