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This function returns Chow-Denning test statistics.
CD1: test for iid series; CD2: test for uncorrelated series with possible heteroskedasticity.
Chow.Denning(y, kvec)
holding periods used
CD1 statistic
CD2 statistic
10 5 1 percent critical values
a vector of time series, typically financial return
a vector of holding periods
Jae H. Kim
Chow,K. V., K. C. DENNING, 1993, A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.
data(exrates) y <- exrates$ca nob <- length(y) r <- log(y[2:nob])-log(y[1:(nob-1)]) kvec <- c(2,5,10) Chow.Denning(r,kvec)
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