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RE: st: Variance Ratio Test


From   Mark Bailie <mbailie05@qub.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Variance Ratio Test
Date   Thu, 19 Apr 2012 20:23:22 +0100

Dave, many thanks for getting back to me.

I'm a statistics beginner, and would like to test for the random walk in a series of stock prices.  

I plan to use the varaince ratio test to test my variables variance against that of a random walk (1).  

Is this just code:  sdtest myvar ==1 

And if so how do I interpret how the results from a the sdtest?  i.e. how do I know if it has rejected the null hypothesis.

Many thanks

Mark

________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Airey, David C [david.airey@vanderbilt.edu]
Sent: 18 April 2012 22:52
To: statalist@hsphsun2.harvard.edu
Subject: re:   st: Variance Ratio Test

.

In what context?

See -sdtest- and -robvar-.

-Dave


> hi, I'm slightly confused about how to test variables for the variance ratio test in stata?
>
> Any help would be much appreciated
>
> Kind regards,
>
> Mark
>
>


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