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Variance Ratio Test

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24 Sep 2001 (Updated )

Calculates the Variance Ratio Test

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Description

Calculates the Variance Ratio Test of a time series, with or without the heteroskedasticity correction.

MATLAB release MATLAB 6.5 (R13)
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Comments and Ratings (10)
25 May 2012 Christe Antoine  
22 Mar 2011 Holger Amort

Should be:
% q values must be between 2 and n/2-1
if length((find(q<2 | q>=n/2)))>0
error('q values must be between 2 and n/2-1');
end

Holger

27 Jul 2009 Jaime Zamora  
10 Mar 2009 Kevin

This script does not seem exactly the same as Lo and Mackinlay.

04 Sep 2008 hojatallah goudarzi

thanks a lot

03 Dec 2007 Simon Zhang  
06 Oct 2007 sab mao

thank you

14 Jul 2007 BIZHAN ABEDINI  
21 Feb 2006 Martin Williams

This is a great script! I'd never used Matlab before! I Didnt even know it existed buti managed to sus out how to use this script :) Id give you a tip! two problems! The first is that there isnt a percentage sign infront of the the top Vr bit and brackets! The second is that if you run the whole script you get that irritating nargin thing. Don't worry though, just copy and paste from the point where is says...

%calculate the mean

06 Feb 2003 Nick Laxton

Hi - the only downside to this is that whilst q can be a vector, the time series cannot be a matrix in the sense of a set of time series. I have done the opposite to you by making the time series a matrix if required but computing for only scalar q.

However I was pleased enough to use your function as a consistency check to mine...

Regards,
Nick.

Updates
05 Jan 2004

screenshot added

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