vrtest (Q26594)

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Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
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vrtest
Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

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    1.1
    5 September 2022
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    0.5
    5 June 2007
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    0.6
    12 June 2007
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    0.7
    16 June 2007
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    0.8
    24 February 2008
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    0.86
    20 April 2008
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    0.90
    6 August 2008
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    0.91
    14 April 2009
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    0.93
    8 May 2009
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    0.94
    22 June 2009
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    0.95
    3 November 2010
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    0.96
    22 April 2014
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    0.97
    10 August 2014
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    1.0
    2 July 2022
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    1.2
    31 August 2023
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    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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