[R] variance ratio test

[Sarah Goslee]

Hi,

Searching on http://www.rseek.org for "variance ratio test" turns up the
vrtest package, as does searching for Lo and Mackinlay,
suggesting that's a good place to start.

Sarah

On Wed, Oct 5, 2011 at 2:48 PM, rauf ibrahim <ask4rauf at yahoo.com> wrote:
> 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,
> Rauf Ibrahim R.
>

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Sarah Goslee
http://www.functionaldiversity.org