Auto.VR {vrtest}

Automatic Variance Ratio Test

Description

A variance ratio test with holding period value chosen by a data dependent procedure

Usage

Auto.VR(y)

Arguments

y

financial return time series

Value

stat

Automatic variance ratio test statistic

sum

1+ weighted sum of autocorrelation up to the optimal order

Note

R code translated from Choi's GAUSS code

Author(s)

Jae H. Kim

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates Journal of Applied Econometrics, 14, 293-308.

Examples

data(exrates)
y <- exrates$ca                           
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])      
Auto.VR(r)