vrtest
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Software:26594
swMATH14697CRANvrtestMaRDI QIDQ26594
Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
Last update: 31 August 2023
Software version identifier: 1.1, 0.5, 0.6, 0.7, 0.8, 0.86, 0.90, 0.91, 0.93, 0.94, 0.95, 0.96, 0.97, 1.0, 1.2
Source code repository: https://github.com/cran/vrtest
Copyright license: GNU General Public License, version 2.0
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>.
