VARRATIO: MATLAB module to calculate heteroskedasticity-consistent variance ratio
VARRATIO (P, Q) performs heteroskedasticity-consistent variance-ratio computations using overlapping observations for each spacing q defined in Q on the time series P.
|Requires:||MATLAB Statistics Toolbox.|
|Date of creation:||29 Mar 1998|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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