Wald                 package:vrtest                 R Documentation

_W_a_l_d _T_e_s_t _o_f _R_i_c_h_a_r_d_s_o_n _a_n_d _S_m_i_t_h (_1_9_9_1)

_D_e_s_c_r_i_p_t_i_o_n:

     This function returns the Wald test statistic with critical values

_U_s_a_g_e:

     Wald(y, kvec)

_A_r_g_u_m_e_n_t_s:

       y: a vector of time series, typically  financial return 

    kvec: a vector of holding periods 

_V_a_l_u_e:

Holding.Periods: holding periods used

Wald.stat: Wald test statistic

Critical.Values_10_5_1_percent: 10 5 and 1 percent critical values

_N_o_t_e:

     The statistic asymptotically follows the chi-squared distribution
     with the degrees of freedom same as the number of holding periods
     used

_A_u_t_h_o_r(_s):

     Jae H. Kim

_R_e_f_e_r_e_n_c_e_s:

     Richardson, M., T. Smith, 1991, "Tests of Financial Models in the
     Presence of Overlapping Observations," The Review Financial
     Studies, 4, 227-254.

_E_x_a_m_p_l_e_s:

     y <- rnorm(100)
     kvec <- c(2,5,10)
     Wald(y,kvec) 

