vrtest (Q26594): Difference between revisions

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Latest revision as of 18:08, 21 March 2024

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

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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

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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

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0.94

publication date

22 June 2009

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0.95

publication date

3 November 2010

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0.96

publication date

22 April 2014

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0.97

publication date

10 August 2014

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1.0

publication date

2 July 2022

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1.2

publication date

31 August 2023

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0 references

0 references

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MaRDI software profile

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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

copyright license

GNU General Public License, version 2.0

0 references

cites work

An automatic Portmanteau test for serial correlation

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Automatic variance ratio test under conditional heteroskedasticity

0 references