VARRATIO: MATLAB module to calculate heteroskedasticity-consistent variance ratio

Ludwig Kanzler ()

Statistical Software Components from Boston College Department of Economics

Abstract: VARRATIO (P, Q) performs heteroskedasticity-consistent variance-ratio computations using overlapping observations for each spacing q defined in Q on the time series P.

Language: MATLAB
Requires: MATLAB Statistics Toolbox.
Date: 1998-03-29
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http://fmwww.bc.edu/repec/bocode/v/varratio.m program code (text/plain)

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