DL.test {vrtest}

Dominguez-Lobato Test for Martingale Difference Hypothesis

Description

Dominguez-Lobato Test

Usage

DL.test(y,B,p)

Arguments

y

financial return time series

B

the number of bootstrap iterations, the default is 300

p

the lag value, the default is 1

Value

Cp

Cramer von Mises test statistic

Kp

Kolmogorov-Smirnov test statistic

Cp_pval

wild bootstrap p-value of the Cp test

Kp_pval

wild bootstrap p-value of the Kp test

Author(s)

Jae H. Kim

References

Domingues M.A. and Lobato, I. N., 2003, Testing the Martingale Difference Hypothesis, Econometrics Reviews, 22, p351-377.

Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, 110(2), 151-154.

Examples

r <- rnorm(50)           
DL.test(r,B=100)
# B=100 is used for fast execution in the example. 
# Use a higher number in actual application