# Subsample.test {vrtest}

Subsampling test of Whang and Kim (2003)

### Description

The function returns the p-values of the subsampling test.

### Usage

Subsample.test(y, kvec)

### Arguments

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

### Details

The block lengths are chosen internally using the rule proposed in Whang and Kim (2003)

### Values

- Holding.Period
- holding periods used
- Block.Length
- block lengths chosen
- pval
- p-values of the test for each block length used

### References

WHANG,Y.-J., J. KIM, 2003, A Multiple Variance Ratio Test Using Subsampling, Economics Letters, 79, 225-230.

### Examples

Documentation reproduced from package vrtest, version 0.97. License: GPL-2