AutoBoot.test {vrtest} | R Documentation |
This function returns wild bootstrap test results for the Automatic Variance Ratio Test of Choi (1999)
AutoBoot.test(y, nboot, wild,prob=c(0.025,0.975))
y |
a vector of time series, typically financial return |
nboot |
the number of bootstrap iterations |
wild |
"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 |
prob |
probability limits for confidence intervals |
test.stat |
Automatic variance ratio test statistic |
pval |
Wild Bootstrap p-value for the test |
CI |
Confidence Intervals from Bootstrap distribution |
Jae H. Kim
Kim, J.H., 2009, Automatic Variance Ratio Test under Conditional Heteroskedasticity. Finance Research Letters. Forthecoming
r <- rnorm(100) # log return AutoBoot.test(r,nboot=500,wild="Normal")