durbinH {JFE}

calculate Sortino Ratio of performance over downside risk

Description

durbinH test the serial correlation of a dynamic regression, namely, a time series regression with AR(1) terms. It modifies Durbin-Watson statictic.

Usage

durbinH(model,Ly.label="ar1")

Arguments

model

Estimation result object by, for example, dynlm or arima

Ly.label

Label of AR(1) dependent variable

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Examples

  data(macrodata)
  y=ts(macrodata[,"OECD"],start=c(1961,1),freq=12) #OECD business cycle index

 out1=dynlm::dynlm(y~L(y,1)+season(y)+trend(y))
 durbinH(out1,Ly.label="L(y, 1)")