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st: lomackinlay corrected


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: lomackinlay corrected
Date   Fri, 4 Aug 2006 11:16:04 -0400

As posted earlier by Allin Cottrell, the lomackinlay routine (variance ratio tests on financial timeseries) had some severe problems due to misinterpretation of the original texts. I am grateful to Allin for providing detailed indications of the corrections required. The updated version, incorporating his corrections, is now available on SSC. The earlier version should be discarded.

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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