Message-ID: <CAM_vjumHYat+qAJQincPPtEwkLmR9tUFBdpibcCump0B_mSXLA@mail.gmail.com>
Date: 2011-10-05T19:18:23Z
From: Sarah Goslee
Subject: variance ratio test
In-Reply-To: <1317840485.62313.YahooMailNeo@web161519.mail.bf1.yahoo.com>
Hi,
Searching on http://www.rseek.org for "variance ratio test" turns up the
vrtest package, as does searching for Lo and Mackinlay,
suggesting that's a good place to start.
Sarah
On Wed, Oct 5, 2011 at 2:48 PM, rauf ibrahim <ask4rauf at yahoo.com> wrote:
> Hello,
> I am looking for a code in R for the variance ratio test statistic (the
> Lo and Mackinlay version or any other versions).
> Does anybody have such a code they can share or know a library in which
> I can find this function?
> Basically I have a number of time series which I need to check for
> persistence. One other test I can use is the runs test in the tseries
> package.
> Any help will be greatly appreciated.
> Thanks a lot,
> Rauf Ibrahim R.
>
---
Sarah Goslee
http://www.functionaldiversity.org