Gen.Spec.Test {vrtest}

Generalized spectral Test

Description

Generalized spectral Test

Usage

Gen.Spec.Test(y,B)

Arguments

y

financial return time series

B

the number of bootstrap iterations, the default is 300

Value

Pboot

wild bootstrap p-value of the test

Author(s)

Jae H. Kim

References

Escanciano, J.C. and Velasco, C., 2006, Generalized Spectral Tests for the martigale Difference Hypothesis, Journal of Econometrics, 134, p151-185.

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(100)        
Gen.Spec.Test(r)