Hi all, I am trying to calculate the variance ratio of a time series under heteroskedasticity. So I know that the variance ratio should be calculated as a weighted average of autocorrelations. But I don't find the same results when I calculate the variance ratio manually and when I compute the M2 (M2 for heteroskedasticity) variance ratio using Lo.Mac function in R. Anybody knows what formula R is using to calculate the M2 statistics? -- View this message in context: http://www.nabble.com/Lo-and-MacKinlay-variance-ratio-test-%28Lo.Mac%29-tf4232129.html#a12040466 Sent from the R help mailing list archive at Nabble.com.