[R] Lo and MacKinlay variance ratio test (Lo.Mac)
Cassius2
lil_bongs2001 at hotmail.com
Tue Aug 7 21:13:03 CEST 2007
Hi all,
I am trying to calculate the variance ratio of a time series under
heteroskedasticity.
So I know that the variance ratio should be calculated as a weighted average
of autocorrelations.
But I don't find the same results when I calculate the variance ratio
manually and when I compute the M2 (M2 for heteroskedasticity) variance
ratio using Lo.Mac function in R.
Anybody knows what formula R is using to calculate the M2 statistics?
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