Chen.Deo {vrtest}R Documentation

Power Transformed Joint Variance Ratio Test

Description

See equation (15) of Chen and Deo (2006)

Usage

Chen.Deo(x, kvec)

Arguments

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

Value

Holding.Period holding periods used
VRsum the sum of (power transformed individual VR - 1)
QPn QPn statistic
ChiSQ.Quantiles_1_2_5_10_20_percent Chi-square critical values

Author(s)

Jae H. Kim

References

Chen, W. W., and Deo, R.S., 2006, The Variance Ratio Statistic at Large Horizons, Econometric Theory, 22, 206-234.

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)
Chen.Deo(r,kvec)

[Package vrtest version 0.90 Index]