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Spec.shape {vrtest}

Spectral shape tests for random walk
Package: 
vrtest
Version: 
0.95

Description

Spectral Shape tests proposed by Durlauf (1991) and Choi (1999)

Usage

Spec.shape(x)

Arguments

x
financial return time series

Values

AD
Anderson-Darling statistic
CVM
Cramer-von Mises statistic
M
Mellows statistic

References

Choi, I. 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293-308. Durlauf, S. N., 1991, Spectral based testing of the martingale hypothesis, Journal of Econometrics, 50, 355-376.

Note

Traslated from Choi's Gauss codes

Examples

data(exrates)
y <- exrates$ca                                 # read Canadian exchange rate
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])           # log return calculation
Spec.shape(r)

Author(s)

Jae H. Kim

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