Boot.test {vrtest} | R Documentation |
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
Boot.test(y, kvec, nboot, wild)
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 |
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 |
Jae H. Kim
Kim, J.H., 2006, Wild Bootstrapping Variance Ratio Tests. Economics Letters, 92, 38-43.
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")