vrtest

Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

CRAN Package

A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test doi:10.1016/j.jeconom.2009.03.001 and automatic variance ratio test doi:10.1016/j.frl.2009.04.003.

  • Version1.2
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release08/31/2023

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