AutoBoot.test {vrtest}R Documentation

Wild Bootstrapping of Automatic Variance Ratio Test

Description

This function returns wild bootstrap test results for the Automatic Variance Ratio Test of Choi (1999)

Usage

AutoBoot.test(y, nboot, wild,prob=c(0.025,0.975))

Arguments

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

Value

test.stat Automatic variance ratio test statistic
pval Wild Bootstrap p-value for the test
CI Confidence Intervals from Bootstrap distribution

Author(s)

Jae H. Kim

References

Kim, J.H., 2009, Automatic Variance Ratio Test under Conditional Heteroskedasticity. Finance Research Letters. Forthecoming

Examples

                                
r <- rnorm(100)           # log return
AutoBoot.test(r,nboot=500,wild="Normal")

[Package vrtest version 0.94 Index]