LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: lomackinlay computes a overlapping variance-ratio test on a timeseries. The timeseries should be in level form; e.g., to test that stock returns vary randomly around a constant mean, you consider the null hypothesis that the log price series is a random walk with drift. The log price series would then be given in the varlist. If the assumption of homoskedastic errors in the process generating the differenced series is not reasonable, the robust option may be used to calculate a variance ratio test statistic robust to arbitrary heteroskedasticity. This is version 1.0.7, corrected for errors in logic identified by Allin Cottrell and Brian Fryd.

Language: Stata
Requires: Stata version 9.2
Keywords: variance ratio test; random walk; heteroskedasticity; time series (search for similar items in EconPapers)
Date: 2006-06-22, Revised 2007-11-14
Note: This module may be installed from within Stata by typing "ssc install lomackinlay". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lomackinlay.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lomackinlay.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456740

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