topic Variance ratio test by Lo and Mackinlay (1988) in Statistical Procedures

Variance ratio test by Lo and Mackinlay (1988)

q5pham — Wed, 13 Apr 2016 01:06:22 GMT

Dear communities,

I would like to use the variance ratio test by Lo and Mackinlay (1988). Do we have something similar to vrtest package in R or vratiotest in mathlab for SAS? I've tried to look for it several days, unfortunately could not find one.

Thanks, Mai

Re: Variance ratio test by Lo and Mackinlay (1988)

Rick_SAS — Thu, 14 Apr 2016 01:19:13 GMT

This is covered in Boehmer, Broussard, and Kallunki, 2002, Chapter 2. You can download the programs from the book at

http://support.sas.com/publishing/bbu/57601/sample.html

Look in the fille SAS Book Programs BBK.sas

Re: Variance ratio test by Lo and Mackinlay (1988)

q5pham — Thu, 14 Apr 2016 01:33:17 GMT

Thank Rick for your help, as always.