Panel.VR

Panel variance tatio tests based on Maximum Absloute Value, Sum of Squares, and Mean of each cross-sectional units

  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

vrtest

Variance Ratio Tests and Other Tests for Martingale Difference
Hypothesis

Panel.VR function

<dl> <dt>dat</dt>
<dd>a T by K matrix of asset returns, K is the munber of cross sectional units and T is length of time series</dd> <dt>nboot</dt>
<dd>the number of wild bootstrap iterations, the default is set to 500</dd></dl>

Arguments

Author

Panel Variance Ratio Tests — Panel.VR

<dl>

 <dt>dat</dt>
<dd>a T by K matrix of asset returns, K is the munber of cross sectional units and T is length of time series</dd>

 <dt>nboot</dt>
<dd>the number of wild bootstrap iterations, the default is set to 500</dd>

</dl>

Panel.VR: Panel Variance Ratio Tests

Description

Usage

Value

Arguments

Author

Details

References

Examples