vrtest

MaRDI QIDQ26594swMATHCRANFDO

Authors Jae H. Kim

Last update 31 August 2023

Copyright license GNU General Public License, version 2.0

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

Official website https://cran.r-project.org/web/packages/vrtest/index.html

Source code repository https://github.com/cran/vrtest

Description

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>.

Cites work

• An automatic Portmanteau test for serial correlation
• Automatic variance ratio test under conditional heteroskedasticity

Cited in

(4)

• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• SYMARMA
• Detecting randomness: a review of existing tests with new comparisons
• Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age?

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