VRATIO: RATS procedure to implement variance ratio unit root test procedure

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Implements the variance ratio unit root test procedure as outlined in Cochrane (1988), Diebold (1989), and Lo and McKinley (1988).

Language: RATS
Requires: RATS 6.00
Keywords: Unit root tests; variance ratio test (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/vratio.src (text/plain)

Related works:
Journal Article: Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00231

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