vrtest (version 0.97)

Lo.Mac: 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

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)