I ran a Variance Ratio test using the vrtest package (and the Lo.Mac command). My problem is that R just provides me with the computed test statistics and not with the frontier value of the test, the p values etc. Does someone know how to do this? Here is what I have done:
> Lo.Mac(rcorr,kvec)
$Stats
M1 M2
k=2 2.2525920 2.1072370
k=5 0.8903658 0.8383312
k=10 -0.5530420 -0.5388423
> str(Lo.Mac(rcorr,kvec))
List of 1
$ Stats: num [1:3, 1:2] 2.253 0.89 -0.553 2.107 0.838 ...
..- attr(*, "dimnames")=List of 2
.. ..$ : chr [1:3] "k=2" "k=5" "k=10"
.. ..$ : chr [1:2] "M1" "M2"
Thank you very much !
Géraldine
see ?Boot.test
This function returns bootstrap p-values of the Lo-MacKilay (1988) and Chow-Denning (1993) tests.
Boot.test(rcorr,kvec,nboot=500,wild="Normal")
$Holding.Period
[1] 2 5 10
$LM.pval
[1] 0.012 0.284 0.810
$CD.pval
[1] 0.028
$CI
2.5% 97.5%
k=2 -2.013676 1.733034
k=5 -1.725987 1.745693
k=10 -1.562838 1.815892