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 2019-03-11
Note: This module should be installed from within Stata by typing "ssc install lomackinlay". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

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

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().