Variance ratio test by Lo and Mackinlay (1988)

[q5pham]

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 

[Rick_SAS · Accepted solution]

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

[q5pham]

Thank Rick for your help, as always.