Subsample.test {vrtest} | R Documentation |
Subsampling test of Whang and Kim (2003)
Description
The function returns the p-values of the subsampling test.
Usage
Subsample.test(y, kvec)
Arguments
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Details
The block lengths are chosen internally using the rule proposed in Whang and Kim (2003)
Value
Holding.Period |
holding periods used |
Block.Length |
block lengths chosen |
pval |
p-values of the test for each block length used |
Author(s)
Jae H. Kim
References
WHANG,Y.-J., J. KIM, 2003, A Multiple Variance Ratio Test Using Subsampling, Economics Letters, 79, 225-230.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
Subsample.test(r,kvec)
[Package vrtest version 1.2 Index]