LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test
Abstractlomackinlay computes a overlapping variance-ratio test on a timeseries. The timeseries should be in level form; e.g., to test that stock returns vary randomly around a constant mean, you consider the null hypothesis that the log price series is a random walk with drift. The log price series would then be given in the varlist. If the assumption of homoskedastic errors in the process generating the differenced series is not reasonable, the robust option may be used to calculate a variance ratio test statistic robust to arbitrary heteroskedasticity. This is version 1.0.7, corrected for errors in logic identified by Allin Cottrell and Brian Fryd.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S456740.
Programming language: Stata
Requires: Stata version 9.2
Date of creation: 22 Jun 2006
Date of revision: 14 Nov 2007
Note: This module should be installed from within Stata by typing "ssc install lomackinlay". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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