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, indicator)

Arguments

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

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

Note

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

Author(s)

Jae H. Kim

References

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

See Also

Examples

y <- rnorm(100)
kvec <- c(2,5,10)
Boot.test(y,kvec,nboot=1000,indicator=2)

[Package vrtest version 0.7 Index]