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
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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