Chen.Deo {vrtest} | R Documentation |
Power Transformed Joint Variance Ratio Test
Description
See equation (15) of Chen and Deo (2006)
Usage
Chen.Deo(x, kvec)
Arguments
x |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Value
Holding.Period |
holding periods used |
VRsum |
the sum of (power transformed individual VR - 1) |
QPn |
QPn statistic |
ChiSQ.Quantiles_1_2_5_10_20_percent |
Chi-square critical values |
Author(s)
Jae H. Kim
References
Chen, W. W., and Deo, R.S., 2006, The Variance Ratio Statistic at Large Horizons, Econometric Theory, 22, 206-234.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
Chen.Deo(r,kvec)
[Package vrtest version 1.2 Index]