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st: Lo-MacKinlay variance ratio test
The lomackinlay routine, available from SSC:
lomackinlay computes a overlapping variance-ratio test on a
timeseries. The timeseries
should be in level form; e.g., to test that stock returns vary
randomly around a constant
mean, you consider the null hypothesis that the log price series
is a random walk with
drift. The log price series would then be given in the varlist.
If the assumption of
homoskedastic errors in the process generating the differenced
series is not reasonable,
the robust option may be used to calculate a variance ratio test
statistic robust to
This test is described in Lo, A. W. and A. C. MacKinlay, A Non-Random
Walk Down Wall Street.
Princeton: Princeton University Press, 1999. http://
Thanks to Tomasz Stepniak for suggesting that this routine be
written, and for helping test initial versions of the routine.
Kit Baum, Boston College Economics
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