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VARRATIO: MATLAB module to calculate heteroskedasticity-consistent variance ratio

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Author Info
Ludwig Kanzler ()

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Abstract

VARRATIO (P, Q) performs heteroskedasticity-consistent variance-ratio computations using overlapping observations for each spacing q defined in Q on the time series P.

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File URL: http://fmwww.bc.edu/repec/bocode/v/varratio.m
File Format: text/plain
File Function: program code
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number T850804.

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Size: 120 lines
Programming language: MATLAB
Requires: MATLAB Statistics Toolbox.
Date of creation: 29 Mar 1998
Date of revision:
Handle: RePEc:boc:bocode:t850804

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