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vrtest  

Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis
View on CRAN: Click here


Download and install vrtest package within the R console
Install from CRAN:
install.packages("vrtest")

Install from Github:
library("remotes")
install_github("cran/vrtest")

Install by package version:
library("remotes")
install_version("vrtest", "1.2")



Attach the package and use:
library("vrtest")
Maintained by
Jae H. Kim
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2007-06-05
Latest Update: 2023-08-31
Description:
Acollection 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>.
How to cite:
Jae H. Kim (2007). vrtest: Variance Ratio Tests and Other Tests for Martingale Difference Hypothesis. R package version 1.2, https://cran.r-project.org/web/packages/vrtest. Accessed 12 Mar. 2026.
Previous versions and publish date:
0.5 (2007-06-05 22:07), 0.6 (2007-06-12 20:20), 0.7 (2007-06-16 17:47), 0.8 (2008-02-24 20:18), 0.86 (2008-04-20 21:06), 0.90 (2008-08-06 19:08), 0.91 (2009-04-14 19:33), 0.93 (2009-05-08 13:04), 0.94 (2009-06-22 09:29), 0.95 (2010-11-03 08:43), 0.96 (2014-04-22 22:10), 0.97 (2014-08-10 13:36), 1.0 (2022-07-02 17:00), 1.1 (2022-09-05 08:50)
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Complete documentation for vrtest
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