[R] Variance Ratio test

From: Mesomeris, Spyros [CIR] <spyros.mesomeris_at_citigroup.com>
Date: Thu 12 Oct 2006 - 13:42:21 GMT


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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