search for: mackinlay

...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.

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 r...

Dear R-helpers, I have been trying to carry out some variance ratio tests such as Lo-MacKinlay test and Chow-Denning test. However, When I write the function LM <- Lo.Mac(y,kvec) or any other functions I don’t get the results displayed. The only sign I get is < I don’t understand what’s wrong (is it the package, misspecification of the function, Vista). I am really stuck in and I woul...

Hello, I am looking for a code in R for the variance ratio test statistic (the Lo and Mackinlay version or any other versions). Does anybody have such a code they can share or know a library in which I can find this function? Basically I have a number of time series which I need to check for persistence. One other test I can use is the runs test in the tseries package. Any help will be gre...

Hello, I am looking for a code in R for the variance ratio test statistic (the Lo and Mackinlay version or any other versions). Does anybody have such a code they can share or know a library in which I can find this function? Basically I have a number of time series which I need to check for persistence. One other test I can use is the runs test in the tseries package. Any help will be gre...

Hello everybody, this is a bit off topic, so maybe you can just reply to me personally... What is the typical notation for 'skewness', 'kurtosis' and maybe 'excess kurtosis'? Thank you, Martina -------------------------------------------------------------------------- Department of Statistics Office Phone: (614) 292-1567 1958 Neil Avenue, 304E Cockins Hall

> > Hi there fellow R-Users, > > > > Can anyone recommend a good book on the theory and practice > > of applying > > GARCH models. > Hello Wayne, * Campbell, John, Lo, Andrew W., MacKinlay, A. Craig, The Econometrics of Financial Markets, 1996, Princeton, NJ: Princeton University Press. http://pup.princeton.edu/titles/5904.html * Enders, Walter, Applied Econometric Time Series, 2. Edition - August 2003, New York, NY: John Wiley and Sons. http://www.wiley.com/WileyCDA/Wi...

Hi there, I work for a market research company and I would like to do the following. I have a dependent variable which is commitment, and I want to see how other variables such as how 5 satisfaction variables (which are all binary variables, take the values 0 and 1) influence commitment using a discriminant analysis, could you please tell me how I can do this in R, ie: the commands for it? Also

I suspect I've found a bug buried somewhere deep inside the SMBmv code; I have an application, Archicad, which will not allow you to file->save over the top of an existing file, unless you happen to be the (unix) owner of that file. Unix permissions are mode 664, users can otherwise manipulate the files as expected. I've attempted various combinations/ permutations of