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:	1.1
Published:	2022-09-05
Author:	Jae H. Kim
Maintainer:	Jae H. Kim <jaekim8080 at gmail.com>
License:	GPL-2
NeedsCompilation:	no
In views:	Finance
CRAN checks:	vrtest results

Documentation:

Reference manual:

vrtest.pdf

Downloads:

Package source:	vrtest_1.1.tar.gz
Windows binaries:	r-devel: vrtest_1.1.zip, r-release: vrtest_1.1.zip, r-oldrel: vrtest_1.1.zip
macOS binaries:	r-release (arm64): vrtest_1.0.tgz, r-oldrel (arm64): vrtest_1.0.tgz, r-release (x86_64): vrtest_1.1.tgz, r-oldrel (x86_64): vrtest_1.1.tgz
Old sources:	vrtest archive

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