Auto.VR {vrtest}R Documentation

Automatic Variance Ratio Test

Description

A variance ratio test with holding period value chosen by a data dependent procedure

Usage

Auto.VR(y)

Arguments

y financial return time series

Value

AutoVR Automatic variance ratio test statistic

Note

R code translated from Choi's GAUSS code

Author(s)

Jae H. Kim

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates Journal of Applied Econometrics, 14, 293-308.

Examples

y <- rnorm(100)
Auto.VR(y)

[Package vrtest version 0.86 Index]