Hello
I am a new user of R software. I benefit from using vrtest-package. However,
the codes provided by the aforementioned package, for example, calculate the
test statistics for Lo and Mackinlay (1988) under the assumptions of
homoscedasticity and heteroscedasticity without computing the value of the
variance ratio itself.
I would be grateful if you could instruct me how to calculate the variance
ratio of Lo and Mackinlay (1988) and Chow and Denning (1993)
Waiting eagerly for your reply.
Amira Akl Ahmed
[[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.
