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- Sun Jan 19, 2014 4:35 am
- Forum: Econometric Discussions
- Topic: Lags used in Variance Ratio Tests
- Replies: 0
- Views: 1529
Lags used in Variance Ratio Tests
Hi there, I'm currently running some variance ratio testes for my dissertation (Lo&MacKinlay, Wright) but I'm having trouble deciding with which lags I should choose for these testes. I'm using daily, weekly and monthly data. In many of the papers I read it's used lags q = 2, 4, 8, 16. To me thi...