amira akl wrote:
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)
You could look at the code; looks pretty simple to me.
It seems that both Lo.Mac and Chow.Denning call LM_stat()
which you can see with
vrtest:::LM_stat
-Peter Ehlers
Waiting eagerly for your reply.
Amira Akl Ahmed
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