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st: Lo-MacKinlay variance ratio test
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 Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:
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