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st: Lo-MacKinlay variance ratio test


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Lo-MacKinlay variance ratio test
Date   Wed, 2 Aug 2006 11:43:26 -0400

Allin Cottrell said

For anyone interested in financial econometrics, the
SSC package lomackinlay.ado has some problems as of
version 1.0.4 (of 2006/05/23).

Allin has corresponded privately regarding this routine and I am working on validating a revised routine that deals with the issues he has raised. As Allin has noted, there are some errors in the published papers by the original authors and considerable vagueness in the various derivations underlying this test. When these are resolved, I will release a corrected version on SSC. I thank Allin for his detective work.

Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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