Estimating variance ratio test result
Hi: I didn't look at the paper below but the critical values are probably in there. http://www.nber.org/papers/t0066.pdf
On Mon, Jul 3, 2017 at 6:16 PM, David Chang <be4pro at gmail.com> wrote:
I'm testing whether a null hypothesis that a time series is random walk is true. I use Auto.VR() and Lo.Mac() from R package "vrtest" for variance ratio test to EURUSD. EURUSD log returns were the input.
head(returns)
Close 2002-01-08 -0.005035595 2002-01-09 0.001905318 2002-01-10 -0.002017508 2002-01-11 0.001009263 2002-01-14 0.002462807 2002-01-15 -0.001118706 Where Auto.VR() gave me
Auto.VR(returns)
$stat [1] 54.50223 $sum [1] 2.843879 Lo.Mac() gave me
Lo.Mac(returns, 2)
$Stats
M1 M2
k=2 -2.083685 -1.733119
How do we evaluate the result from Auto.VR() or Lo.Mac()? In other
words, how can we say that the null hypothesis is rejected from those
results?
David
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