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vrtest - MaRDI portal

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vrtest (Q26594)

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Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
Language Label Description Also known as
English
vrtest
Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

    Statements

    instance of
    R package
    0 references
    software version identifier
    1.1
    publication date
    5 September 2022
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    0.5
    publication date
    5 June 2007
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    0.6
    publication date
    12 June 2007
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    0.7
    publication date
    16 June 2007
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    0.8
    publication date
    24 February 2008
    0 references
    0.86
    publication date
    20 April 2008
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    0.90
    publication date
    6 August 2008
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    0.91
    publication date
    14 April 2009
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    0.93
    publication date
    8 May 2009
    0 references
    0.94
    publication date
    22 June 2009
    0 references
    0.95
    publication date
    3 November 2010
    0 references
    0.96
    publication date
    22 April 2014
    0 references
    0.97
    publication date
    10 August 2014
    0 references
    1.0
    publication date
    2 July 2022
    0 references
    1.2
    publication date
    31 August 2023
    0 references
    maintained by
    Jae H. Kim
    0 references
    programmed in
    R
    0 references
    last update
    31 August 2023
    0 references
    description
    A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.
    0 references
    author
    Jae H. Kim
    0 references

    Identifiers

    swMATH work ID
    14697
    0 references
    CRAN project
    vrtest
    0 references
     
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