exrates

The data set used in Wright (2001) as an application, weekly from August, 7, 1974 to May 29 1996

datasets

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

exrates function

A data frame with 1139 observations on the following 5 variables.<dl>
 <dt><code>ca</code></dt>
<dd>a numeric vector, Canadian Dollar</dd> <dt><code>dm</code></dt>
<dd>a numeric vector, Deutch Mark</dd> <dt><code>ff</code></dt>
<dd>a numeric vector, French Franc</dd> <dt><code>uk</code></dt>
<dd>a numeric vector, UK Pound</dd> <dt><code>jp</code></dt>
<dd>a numeric vector, Japanese Yen</dd> 
</dl>

Format

wright's Exchange Rates Data — exrates

A data frame with 1139 observations on the following 5 variables.<dl>
 <dt><code>ca</code></dt>
<dd>a numeric vector, Canadian Dollar</dd>

 <dt><code>dm</code></dt>
<dd>a numeric vector, Deutch Mark</dd>

 <dt><code>ff</code></dt>
<dd>a numeric vector, French Franc</dd>

 <dt><code>uk</code></dt>
<dd>a numeric vector, UK Pound</dd>

 <dt><code>jp</code></dt>
<dd>a numeric vector, Japanese Yen</dd>

 
</dl>

exrates: wright's Exchange Rates Data

Description

Usage

Arguments

Format

References

Examples