Hi,
I’m trying to use the highfrequency package and I have a question on Jump
detection using the ABDJumpTest function in realized.R which is called from
function harModel

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Looking at the current code for this function, I see:
ABDJumptest = function(RV, BPV, TQ){ # Comput jump detection stat mentioned in
roughing paper
mu1 = sqrt(2/pi);
n = length(RV);
zstat = ((1/n)^(-1/2))*((RV-BPV)/RV)*( (mu1^(-4) + 2*(mu1^(-2))-5) * pmax(
1,TQ*(BPV^(-2)) ) )^(-1/2);
return(zstat);
}
I believe this is trying to implement Equation 18 in this paper:
http://www.nber.org/papers/w11775.pdf <http://www.nber.org/papers/w11775.pdf>
If I read the paper correctly, n should be the number of observations per day.
For example if we are passing in 5 minute returns, n should be the number of 5
minute intervals during a trading day.
In the current code, n is being used as the number of days in the set of
returns.
Does anybody have any thoughts on this? I’m new to R-Sig and I’m more of a
Python than a R programmer, so if this is the wrong forum, would appreciate
someone pointing me to the right forum.
Best,
Sal
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