# Chow.Denning {vrtest}

Chow-Denning Multiple Variance Ratio Tests

### Description

This function returns Chow-Denning test statistics.

CD1: test for iid series; CD2: test for uncorrelated series with possible heteroskedasticity.

### Usage

Chow.Denning(y, kvec)

### Arguments

- y
- a vector of time series, typically financial return
- kvec
- a vector of holding periods

### Values

- Holding.Periods
- holding periods used
- CD1
- CD1 statistic
- CD2
- CD2 statistic
- Critical.Values_10_5_1_percent
- 10 5 1 percent critical values

### References

Chow,K. V., K. C. DENNING, 1993, A Simple Multiple Variance Ratio Test, Journal of Econometrics, 58, 385-401.

### Note

See Chow and Denning (1993) for the details of critical value calculation

### Examples

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