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
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
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
Thank Rick for your help, as always.
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