[R] Variance Ratio test

[Leeds, Mark (IED)]

I don't know if it's there but check Rmetrics : ( Fcalendar, Fseries ). 


Just an aside : I don't think  the runs test is really a test you want
top use
for checking for the random walk nature of a series. There's some vague
relation in terms of the fact that the runs 
test test whether the number of streaks of positive and negatives is
random but it's not as specific of a test ( for testing the random walk
) as the variance  ratio test.

  

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Mesomeris, Spyros
[CIR]
Sent: Thursday, October 12, 2006 9:42 AM
To: r-help at stat.math.ethz.ch
Subject: [R] Variance Ratio test

Hello,

I am looking for a code in R for the variance ratio test statistic (the
Lo and Mackinlay version or any other versions).

Does anybody have such a code they can share or know a library in which
I can find this function?

Basically I have a number of time series which I need to check for
persistence. One other test I can use is the runs test in the tseries
package.

Any help will be greatly appreciated.

Thanks a lot,
Spyros

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