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LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

lomackinlay 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.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/l/lomackinlay.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/l/lomackinlay.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456740.

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Programming language: Stata
Requires: Stata version 9.2
Date of creation: 22 Jun 2006
Date of revision: 14 Nov 2007
Handle: RePEc:boc:bocode:s456740

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
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: variance ratio test; random walk; heteroskedasticity; time series;

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