{ "_id": "6acb55d5fe5cc25786e8e5a9", "Package": "spantest", "Title": "Mean-Variance Spanning Tests", "Version": "1.4-4", "Date": "2026-10-10", "Authors@R": "c(person(\"David\", \"Ardia\", role = c(\"aut\", \"cre\", \"cph\", \"fnd\"),\nemail = \"david.ardia.ch@gmail.com\",\ncomment = c(ORCID = \"0000-0003-2823-782X\")),\nperson(\"Benjamin\", \"Seguin\", role = \"aut\"),\nperson(\"Rosnel\", \"Sessinou\", role = \"ctb\"),\nperson(\"Richard\", \"Luger\", role = \"ctb\"))", "Description": "Provides a comprehensive suite of portfolio spanning tests\nfor asset pricing, such as Huberman and Kandel (1987)\n, Gibbons et al. (1989)\n, Kempf and Memmel (2006)\n, Pesaran and Yamagata (2024)\n, Gungor and Luger (2016)\n, and the randomized alpha\ntest of Massacci et al. (2026) .", "License": "GPL-3", "Encoding": "UTF-8", "Language": "en-US", "URL": "https://github.com/ArdiaD/spantest", "BugReports": "https://github.com/ArdiaD/spantest/issues", "Config/testthat/edition": "3", "RdMacros": "Rdpack", "Roxygen": "list(markdown = TRUE)", "Config/roxygen2/version": "8.1.0", "Repository": "https://ardiad.r-universe.dev", "Date/Publication": "2026-10-11 02:32:14 UTC", "RemoteUrl": "https://github.com/ardiad/spantest", "RemoteRef": "HEAD", "RemoteSha": "d2b0baeb98d9240154bf16a50463a4f3f3f39a82", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-10-11 09:13:04 UTC", "User": "root" }, "Author": "David Ardia [aut, cre, cph, fnd] (ORCID:\n),\nBenjamin Seguin [aut],\nRosnel Sessinou [ctb],\nRichard Luger [ctb]", "Maintainer": "David Ardia ", "_user": "ardiad", "_type": "src", "_file": "spantest_1.4-4.tar.gz", "_fileid": "https://r2.ropensci.org/52aeaf17acb02e7830c50feb595f167bcb0a06626f92e41a907edc7559369cae", "_filesize": 399734, "_sha256": "52aeaf17acb02e7830c50feb595f167bcb0a06626f92e41a907edc7559369cae", "_expires": "2027-01-19T09:24:35.000Z", "_created": "2026-10-11T09:13:04.000Z", "_published": "2026-10-11T09:24:37.709Z", "_buildurl": "https://github.com/r-universe/ardiad/actions/runs/38127375858", "_status": "success", "_host": "GitHub-Actions", "_jobs": [ { "job": 114435097592, "time": 96, "config": "linux-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "11697484390" }, { "job": 114435097607, "time": 115, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "11696999336" }, { "job": 114435097586, "time": 81, "config": "linux-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "11696744775" }, { "job": 114435097547, "time": 102, "config": "linux-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "11697843471" }, { "job": 114435097575, "time": 85, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "11697019865" }, { "job": 114435097581, "time": 184, "config": "macos-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "11697789742" }, { "job": 114435097541, "time": 155, "config": "macos-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "11697399892" }, { "job": 114435097558, "time": 229, "config": "macos-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "11697344902" }, { "job": 114434492059, "time": 205, "config": "source", "r": "4.6.1", "check": "OK", "artifact": "11697828463" }, { "job": 114435097533, "time": 96, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "11697738702" }, { "job": 114435097563, "time": 193, "config": "windows-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "11697069205" }, { "job": 114435097588, "time": 141, "config": "windows-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "11697945387" }, { "job": 114435097583, "time": 101, "config": "windows-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "11697928097" }, { "job": 114435097571, "time": 218, "config": "windows-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "11697444514" }, { "job": 114435097531, "time": 106, "config": "windows-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "11697945338" } ], "_upstream": "https://github.com/ardiad/spantest", "_commit": { "id": "d2b0baeb98d9240154bf16a50463a4f3f3f39a82", "author": "David Ardia ", "committer": "David Ardia ", "message": "Release 1.4-4: the paper's rule for p = 1, a warning for missing p-values, GL docs\n\nFound by the two audits of 2026-10-10 (review/2026-10-10_reconciliation-audits.md).\n\n- f_cauchypv() replaces a p-value equal to one by 1 - 1e-12, as Section 3.1 of the\n paper says it does. Without it an exact one contributes tan(-pi/2) = -1.63e16 and\n outweighs any small p-value: c(1e-14, 1) combined to 1, now to 2e-14. Values below\n one are untouched, so every result without an exact one is unchanged bit for bit;\n an exact one needs a subseries t-statistic of exactly zero. The dominance of values\n NEAR one is a property of the statistic and is not changed (David's decision: keep\n the statistic and report how often one asset decides a test).\n- span_as() warns when test assets have no p-value (a constant column, for example)\n and says how many are left out; they were dropped silently.\n- GL: pval_LMC is the local and pval_BMC the bounds Monte Carlo p-value of Gungor and\n Luger (2016), not \"Least-Favorable\" and \"Balanced\"; stat is the largest asset-level\n (SSR_r - SSR_u)/SSR_u, without the constant of the F form (no effect on p-values).\n- span_simulate(): the preset numbers are not the paper's DGP numbers (the AR and\n AR-GARCH blocks are swapped); names reproduce the paper.\n\nTests: 356 pass (two new). R CMD check --as-cran: Status OK.\n", "time": 1791685934 }, "_maintainer": { "name": "David Ardia", "email": "david.ardia.ch@gmail.com", "login": "ardiad", "orcid": "0000-0003-2823-782X", "description": "Professor in Quantitative Finance", "uuid": 11246455 }, "_distro": "resolute", "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 4.1.0", "role": "Depends" }, { "package": "Rcpp", "role": "LinkingTo" }, { "package": "RcppArmadillo", "role": "LinkingTo" }, { "package": "Rcpp", "role": "Imports" }, { "package": "Rdpack", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" } ], "_owner": "ardiad", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2026-28", "n": 14 }, { "week": "2026-29", "n": 3 }, { "week": "2026-31", "n": 3 }, { "week": "2026-32", "n": 1 }, { "week": "2026-33", "n": 6 }, { "week": "2026-38", "n": 1 }, { "week": "2026-40", "n": 1 }, { "week": "2026-41", "n": 3 } 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