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Ok, student's t-distribution seems to give critical values in line with the eViews test results on individual lags. I'm glad you didn't fire away a straight answer to my query (well, my query was partly invalid anyways..) directly. As a result of this discussion, I look at my research with different...

Aha, right. The C&D MVR seemed ridiculously strict to me (from RWH null perspective) as I had the idea that it is (quite) equally distributed as the L&M SVR test, when obviously the number of lags tested, as a property of SMM, remarkably ‘penalize’ the p-value of the joint max |z|. Another t...

Sadly I don't have access to the workfile for a couple of days. Thanks Glenn for your input though. Following it is quite tricky given my knowledge level in statistics. I guess my question is more routed in VR/statistical theory than eViews practice. Bottom line what I'm looking for is critical valu...

Hi, I'm experiencing some inconsistencies when running a Lo and MacKinlay (1988) VR on daily index data (2200 observations) in eViews7. 1) I first imported (excel) logarithmic returns generated from the daily index levels as first differences. This gives me VR:s of ~(0.5, 0.25, 0.12 and 0.06) at lag...