R help - Oct 2009 - variance ratio tests

Hello
I am a new user of R software. I benefit from using vrtest-package. However, the
codes provided by the aforementioned package, for example, calculate the test
statistics for Lo and Mackinlay (1988) under the assumptions of homoscedasticity
and heteroscedasticity without computing the value of the variance ratio itself.
 
I would be grateful if you could instruct me how to calculate the variance ratio
of Lo and Mackinlay (1988) and Chow and Denning (1993)
 
 
Waiting eagerly for your reply.
Amira Akl Ahmed


      
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amira akl wrote:
> Hello
> I am a new user of R software. I benefit from using vrtest-package.
However, the codes provided by the aforementioned package, for example,
calculate the test statistics for Lo and Mackinlay (1988) under the assumptions
of homoscedasticity and heteroscedasticity without computing the value of the
variance ratio itself.
>  
> I would be grateful if you could instruct me how to calculate the variance
ratio of Lo and Mackinlay (1988) and Chow and Denning (1993)
You could look at the code; looks pretty simple to me.
It seems that both Lo.Mac and Chow.Denning call LM_stat()
which you can see with

  vrtest:::LM_stat

  -Peter Ehlers
>  
>  
> Waiting eagerly for your reply.
> Amira Akl Ahmed
> 
> 
>       
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> 
> 
> 
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