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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>.
| Version: | 1.2 |
| Published: | 2023-08-31 |
| Author: | Jae H. Kim |
| Maintainer: | Jae H. Kim <jaekim8080 at gmail.com> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | vrtest results |
| Reference manual: | vrtest.pdf |
| Package source: | vrtest_1.2.tar.gz |
| Windows binaries: | r-devel: vrtest_1.2.zip, r-release: vrtest_1.2.zip, r-oldrel: vrtest_1.2.zip |
| macOS binaries: | r-release (arm64): vrtest_1.2.tgz, r-oldrel (arm64): vrtest_1.2.tgz, r-release (x86_64): vrtest_1.2.tgz, r-oldrel (x86_64): vrtest_1.2.tgz |
| Old sources: | vrtest archive |
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