swMATH14697CRANvrtestMaRDI QIDQ26594FDOQ26594
Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
Last update: 31 August 2023
Copyright license: GNU General Public License, version 2.0
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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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