Hello,
I am looking for a code in R for the variance ratio test statistic (the
Lo and Mackinlay version or any other versions).
Does anybody have such a code they can share or know a library in which
I can find this function?
Basically I have a number of time series which I need to check for
persistence. One other test I can use is the runs test in the tseries
package.
Any help will be greatly appreciated.
Thanks a lot,
Rauf Ibrahim R.
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
