Boot.test {vrtest}R Documentation

Bootstrap Variance Ratio Tests

Description

This function returns bootstrap p-values of the Lo-MacKilay (1988) and Chow-Denning (1993) tests.

Users can choose between iid bootstrap and wild bootstrap

Usage

Boot.test(y, kvec, nboot, wild)

Arguments

y a vector of time series, typically financial return
kvec a vector of holding periods
nboot the number of bootstrap iterations
wild "No" for iid bootstrap, "Normal" for the wild bootstrap using the standard normal distribution, "Mammen" for the wild bootstrap using Mammen's two point distribution, "Rademacher" for the wild bootstrap using Rademacher's two point distribution

Value

Holding.Period holding periods used
LM.pval Bootstrap p-values for the Lo-MacKinlay tests
CD.pval Bootstrap p-value for the Chow-Denning test

Author(s)

Jae H. Kim

References

Kim, J.H., 2006, Wild Bootstrapping Variance Ratio Tests. Economics Letters, 92, 38-43.

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)
Boot.test(r,kvec,nboot=500,wild="Normal")

[Package vrtest version 0.90 Index]