EViews.com

Actually, I've answered my own question by reconstructing the test in Excel and varying the methodology. EViews calculates quantities in equation 34.54 in the manual for all t in the sample, irrespective of whether t-q satisfies the if condition. In other words, it calculates the q- period behind VR...

Hello, I am looking at how, if at all, the time-series predictability of stock returns varies depending on whether the market is in a good state or a bad state, as indicated by a dummy variable. Using the dummy variable to split my sample, I want to conduct a variance ratio test. For the bad time sa...