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, indicator)
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
nboot |
the number of bootstrap iterations |
indicator |
1 for iid bootstrap, 2 for wild bootstrap |
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 |
indicator = 1, the p-values for M1 and CD1 tests based on iid bootstrap
indicator = 2, the p-values for M2 and CD2 tests based on wild bootstrap
Jae H. Kim
Kim, J.H., 2006, Wild Bootstrapping Variance Ratio Tests. Economics Letters, 92, 38-43.
y <- rnorm(100) kvec <- c(2,5,10) Boot.test(y,kvec,nboot=1000,indicator=2)