Hi, Searching on http://www.rseek.org for "variance ratio test" turns up the vrtest package, as does searching for Lo and Mackinlay, suggesting that's a good place to start.
Sarah On Wed, Oct 5, 2011 at 2:48 PM, rauf ibrahim <ask4r...@yahoo.com> wrote: > 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. > --- Sarah Goslee http://www.functionaldiversity.org ______________________________________________ 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.
