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AutoBoot.test {vrtest}

Wild Bootstrapping of Automatic Variance Ratio Test
Package: 
vrtest
Version: 
0.95

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")

Author(s)

Jae H. Kim

Documentation reproduced from package vrtest, version 0.95. License: GPL (>= 2)