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DL.test {vrtest}

Dominguez-Lobato Test for Martingale Difference Hypothesis
Package: 
vrtest
Version: 
0.95

Description

Dominguez-Lobato Test

Usage

DL.test(y,B,p)

Arguments

y
financial return time series
B
the number of bootstrap iterations, the default is 300
p
the lag value, the default is 1

Values

Cp
Cramer von Mises test statistic
Kp
Kolmogorov-Smirnov test statistic
Cp_pval
wild bootstrap p-value of the Cp test
Kp_pval
wild bootstrap p-value of the Kp test

References

Domingues M.A. and Lobato, I. N., 2003, Testing the Martingale Difference Hypothesis, Econometrics Reviews, 22, p351-377.

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 calculation
DL.test(r)

Author(s)

Jae H. Kim

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