AutoBoot.test {vrtest}
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
Values
- test.stat
- Automatic variance ratio test statistic
- pval
- Wild Bootstrap p-value for the test
- CI
- Confidence Intervals from Bootstrap distribution
References
Kim, J. H., 2009, Automatic Variance Ratio Test under Conditional Heteroskedascity, Finance Research Letters, 6(3), 179-185.
Charles, A. Darne, O. Kim, J.H. 2011, Small Sample Proeprties of Alternative Tests for Martingale Difference Hypothesis, Economics Letters, in press.
Examples
r <- rnorm(100) # log return AutoBoot.test(r,nboot=500,wild="Normal")
Documentation reproduced from package vrtest, version 0.95. License: GPL (>= 2)