st: variance ratio test

[Kit Baum <baum@bc.edu>]

Richard said

I want to test to see if a data series is fractionally integrated.  As
part of this, I would like to perform a variance ratio test.  Has anyone
written the Stata code to conduct this test?


Not aware of any, but there are a number of other routines available  
(findit fractional integration). Lo's modified R/S test is perhaps  
closest in spirit to the variance ratio test. The KPSS test is also  
popular.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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