Programming the statistical procedures from SAS

Variance ratio test by Lo and Mackinlay (1988)

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Variance ratio test by Lo and Mackinlay (1988)

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 


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‎04-13-2016 09:33 PM
SAS Super FREQ
Posts: 3,547

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

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

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‎04-13-2016 09:33 PM
SAS Super FREQ
Posts: 3,547

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

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

Contributor
Posts: 24

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

Thank Rick for your help, as always.

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