st: Lo-MacKinlay variance ratio test

[Kit Baum <baum@bc.edu>]

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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