Chow.Denning {vrtest}R Documentation

Chow-Denning Multiple Variance Ratio Tests

Description

This function returns Chow-Denning test statistics.

CD1: test for iid series; CD2: test for uncorrelated series with possible heteroskedasticity.

Usage

Chow.Denning(y, kvec)

Arguments

y a vector of time series, typically financial return
kvec a vector of holding periods

Value

Holding.Periods holding periods used
CD1 CD1 statistic
CD2 CD2 statistic
Critical.Values_10_5_1_percent 10 5 1 percent critical values

Note

See Chow and Denning (1993) for the details of critical value calculation

Author(s)

Jae H. Kim

References

Chow,K. V., K. C. DENNING, 1993, A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.

Examples

data(exrates)
y <- exrates$ca                                # read Canadian exchange rate
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])           # log return calculation
kvec <- c(2,5,10)
Chow.Denning(r,kvec) 

[Package vrtest version 0.90 Index]