Lo.Mac {vrtest} | R Documentation |
The function returns M1 and M2 statistics of Lo and MacKinlay (1998).
M1: tests for iid series; M2: for uncorrelated series with possible heteroskedasticity.
Lo.Mac(y, kvec)
y |
a vector of time series, typically financial return |
kvec |
a vector of holding periods |
Holding.Periods |
holding periods used |
M1.stat |
M1 test statistic |
M2.stat |
M2 test statistic |
Jae H. Kim
LO, A. W., and A. C. MACKINLAY (1988): "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, 1, 41-66.
data(exrates) y <- exrates$ca # read Canadian exchange rate nob <- length(y) r <- log(y[2:nob])-log(y[1:(nob-1)]) # log return calculation kvec <- c(2,5,10) Lo.Mac(r,kvec)