Calculates the Variance Ratio Test of a time series, with or without the heteroskedasticity correction.
% 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');
This script does not seem exactly the same as Lo and Mackinlay.
thanks a lot
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
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...