Auto.VR {vrtest} | R Documentation |
A variance ratio test with holding period value chosen by a data dependent procedure
Auto.VR(y)
y |
financial return time series |
AutoVR |
Automatic variance ratio test statistic |
R code translated from Choi's GAUSS code
Jae H. Kim
Choi, I. 1999, Testing the random walk hypothesis for real exchange rates Journal of Applied Econometrics, 14, 293-308.
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 Auto.VR(r)