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This function returns the Wald test statistic with critical values
Wald(y, kvec)
holding periods used
Wald test statistic
10 5 and 1 percent critical values
a vector of time series, typically financial return
a vector of holding periods
Jae H. Kim
Richardson, M., T. Smith, 1991, "Tests of Financial Models in the Presence of Overlapping Observations," The Review Financial Studies, 4, 227-254.
data(exrates) y <- exrates$ca nob <- length(y) r <- log(y[2:nob])-log(y[1:(nob-1)]) kvec <- c(2,5,10) Wald(r,kvec)
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