Computes the test statistics for examining the significance of autocorrelation in univariate time series, cross-correlation in bivariate time series, Pearson correlations in multivariate series and test statistics for i.i.d. property of univariate series given in Dalla, Giraitis and Phillips (2020), < https://cowles.yale.edu/sites/default/files/files/pub/d21/d2194-r.pdf>.