Lo.Mac {vrtest} | R Documentation |
Lo-MacKinlay variance Ratio Tests
Description
The function returns M1 and M2 statistics of Lo and MacKinlay (1998).
M1: tests for iid series; M2: for uncorrelated series with possible heteroskedasticity.
Usage
Lo.Mac(y, kvec)
Arguments
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Value
Stats |
M1 and M2 statistics |
Author(s)
Jae H. Kim
References
LO, A. W., and A. C. MACKINLAY (1988): "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, 1, 41-66.
Examples
data(exrates)
y <- exrates$ca
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)])
kvec <- c(2,5,10)
Lo.Mac(r,kvec)
[Package vrtest version 1.2 Index]