Lo-MacKinlay Variance-Ratio Tests

For posting your own programs to share with others

Moderators: EViews Gareth, EViews Moderator

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Lo-MacKinlay Variance-Ratio Tests

Postby EViews Glenn » Thu Apr 30, 2009 11:16 am

We had a posting elsewhere on the forum asking for something in this area, so I cooked up something that some may find to be of use.

Attached is a subroutine that I cooked up to perform the simplest version of Lo-MacKinlay variance ratio tests on the series in a group. The limitations are described in the code, but in particular it assumes homoskedasticity, doesn't use bias corrected variances, and doesn't perform any joint testing. To use it, you'll need to include the subroutine at the top of any program file that calls this.

It's undergone a bit of testing (but not much) and matches a variety of known results, but you should use at your own risk.
Attachments
vrtest_sub.prg
(2.64 KiB) Downloaded 961 times

Return to “Program Repository”

Who is online

Users browsing this forum: No registered users and 21 guests