An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-help/attachments/20111005/2b368e3e/attachment.pl>
variance ratio test
2 messages · rauf ibrahim, Sarah Goslee
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