Chow.Denning {vrtest} | R Documentation |
Chow-Denning Multiple Variance Ratio Tests
Description
This function returns Chow-Denning test statistics.
CD1: test for iid series; CD2: test for uncorrelated series with possible heteroskedasticity.
Usage
Chow.Denning(y, kvec)
Arguments
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Value
Holding.Periods |
holding periods used |
CD1 |
CD1 statistic |
CD2 |
CD2 statistic |
Critical.Values_10_5_1_percent |
10 5 1 percent critical values |
Note
See Chow and Denning (1993) for the details of critical value calculation
Author(s)
Jae H. Kim
References
Chow,K. V., K. C. DENNING, 1993, A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
Chow.Denning(r,kvec)
[Package vrtest version 1.2 Index]