Ave.Ex {vrtest}

Average Exponential Tests

Description

Average exponential tests of Andrews and Ploberger (1996)

Usage

Ave.Ex(y)

Arguments

y

financial return time series

Value

Ex.LM

LM test

Ex.LR

LR test

Note

Traslated from Choi's Gauss codes

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)])   
Ave.Ex(r)