vrtest (Q26594): Difference between revisions
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point in time: 20 September 2023
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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 |
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English | vrtest |
Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis |
Statements
31 August 2023
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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>.
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20 September 2023
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