Wald {vrtest} | R Documentation |
Wald Test of Richardson and Smith (1991)
Description
This function returns the Wald test statistic with critical values
Usage
Wald(y, kvec)
Arguments
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Value
Holding.Periods |
holding periods used |
Wald.stat |
Wald test statistic |
Critical.Values_10_5_1_percent |
10 5 and 1 percent critical values |
Note
The statistic asymptotically follows the chi-squared distribution with the degrees of freedom same as the number of holding periods used
Author(s)
Jae H. Kim
References
Richardson, M., T. Smith, 1991, "Tests of Financial Models in the Presence of Overlapping Observations," The Review Financial Studies, 4, 227-254.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
Wald(r,kvec)
[Package vrtest version 1.2 Index]