Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis

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Documentation for package ‘vrtest’ version 1.2

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vrtest-package Variance Ratio tests and other tests for Martingale Difference Hypothesis
Adjust.thin Adjustment for thinly-traded returns
Auto.Q Automatic Portmanteau Test
Auto.VR Automatic Variance Ratio Test
AutoBoot.test Wild Bootstrapping of Automatic Variance Ratio Test
Ave.Ex Average Exponential Tests
Boot.test Bootstrap Variance Ratio Tests
Chen.Deo Power Transformed Joint Variance Ratio Test
Chow.Denning Chow-Denning Multiple Variance Ratio Tests
DL.test Dominguez-Lobato Test for Martingale Difference Hypothesis
exrates wright's Exchange Rates Data
Gen.Spec.Test Generalized spectral Test
Joint.Wright A Joint Version of Wight's Rank and Sign Test
JWright.crit Critical Values for the joint versions of Wright's rank and sign tests
Lo.Mac Lo-MacKinlay variance Ratio Tests
Panel.VR Panel Variance Ratio Tests
Spec.shape Spectral shape tests for random walk
Subsample.test Subsampling test of Whang and Kim (2003)
VR.minus.1 Absolute Value of (VR - 1)
VR.plot Variance Ratio Plot
vrtest Variance Ratio tests and other tests for Martingale Difference Hypothesis
Wald Wald Test of Richardson and Smith (1991)
Wright Wright's Rank and Sign Tests
Wright.crit Critical Values for Wright's rank and sign tests