vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.

Version: 1.2
Published: 2023-08-31
DOI: 10.32614/CRAN.package.vrtest
Author: Jae H. Kim
Maintainer: Jae H. Kim <jaekim8080 at gmail.com>
License: GPL-2
NeedsCompilation: no
In views: Finance
CRAN checks: vrtest results


Reference manual: vrtest.pdf


Package source: vrtest_1.2.tar.gz
Windows binaries: r-devel: vrtest_1.2.zip, r-release: vrtest_1.2.zip, r-oldrel: vrtest_1.2.zip
macOS binaries: r-release (arm64): vrtest_1.2.tgz, r-oldrel (arm64): vrtest_1.2.tgz, r-release (x86_64): vrtest_1.2.tgz, r-oldrel (x86_64): vrtest_1.2.tgz
Old sources: vrtest archive


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