search for: vrtest

...heoretical background of the methodology, but I found it quite difficult to implement the tests practically using my own data. As I have little experience in R. I would be really appreciated if you could do me a favour by giving me some hints on to use the Reference Manual written by the author of Vrtest, is it correct for me to read in my own data, and then type in the codes from the reference manual to get results.Obviously, I have installed the Vrtest package. I tried to type in the command from the reference manual and they always return "Error: could not find function", I would like...

Dear R-helpers, I am using a vrtest on time series data. My commands are as follows; read.table("B.txt",sep="\t",fill=TRUE, na.strings = "NA") require(vrtest) rm(list=ls(all=TRUE)) datamat <- read.table("B.txt",sep="\t",fill=TRUE, na.strings = "NA") column <- 1...

Hello I am a new user of R software. I benefit from using vrtest-package. However, the codes provided by the aforementioned package, for example, calculate the test statistics for Lo and Mackinlay (1988) under the assumptions of homoscedasticity and heteroscedasticity without computing the value of the variance ratio itself.   I would be grateful if you could i...

Dear Rhelp I am first time user of R and I have the following questions: 1. How I can load my data (it is a matrix 10x1618) with the titles of the variables in the first row? 2. How I can run vrtest to calculate Variance Ratio Tests for Weak-form Market Efficiency? Thanks in advance. Jasim ____________________________________________________________________________________ the tools to get online. [[alternative HTML version deleted]]

Hello, I am looking for a code in R for the variance ratio test statistic (the Lo and Mackinlay version or any other versions). Does anybody have such a code they can share or know a library in which I can find this function? Basically I have a number of time series which I need to check for persistence. One other test I can use is the runs test in the tseries package. Any help will be greatly

Dear R-helpers, I have been trying to carry out some variance ratio tests such as Lo-MacKinlay test and Chow-Denning test. However, When I write the function LM <- Lo.Mac(y,kvec) or any other functions I don’t get the results displayed. The only sign I get is < I don’t understand what’s wrong (is it the package, misspecification of the function, Vista). I am really stuck in and I would be