variance ratio using the computer package R
Posted: August 9th, 2007, 11:20 am
Hi all,Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)?Is it the weighted average of autocorrelations with lag j = 1 to q-1 where q is the aggregation period?Cassius