Estimating variance ratio test result

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Estimating variance ratio test result

David Chang
I'm testing whether a null hypothesis that a time series is random
walk is true. I use Auto.VR() and Lo.Mac() from R package "vrtest" for
variance ratio test to EURUSD. EURUSD log returns were the input.

> head(returns)
                  Close
2002-01-08 -0.005035595
2002-01-09  0.001905318
2002-01-10 -0.002017508
2002-01-11  0.001009263
2002-01-14  0.002462807
2002-01-15 -0.001118706

Where Auto.VR() gave me
> Auto.VR(returns)
$stat
[1] 54.50223
$sum
[1] 2.843879

Lo.Mac() gave me
> Lo.Mac(returns, 2)
$Stats
           M1        M2
k=2 -2.083685 -1.733119

How do we evaluate the result from Auto.VR() or Lo.Mac()? In other
words, how can we say that the null hypothesis is rejected from those
results?

David

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Re: Estimating variance ratio test result

mark leeds
Hi: I didn't look at the paper below but the critical values are probably
in there.

http://www.nber.org/papers/t0066.pdf


On Mon, Jul 3, 2017 at 6:16 PM, David Chang <[hidden email]> wrote:

> I'm testing whether a null hypothesis that a time series is random
> walk is true. I use Auto.VR() and Lo.Mac() from R package "vrtest" for
> variance ratio test to EURUSD. EURUSD log returns were the input.
>
> > head(returns)
>                   Close
> 2002-01-08 -0.005035595
> 2002-01-09  0.001905318
> 2002-01-10 -0.002017508
> 2002-01-11  0.001009263
> 2002-01-14  0.002462807
> 2002-01-15 -0.001118706
>
> Where Auto.VR() gave me
> > Auto.VR(returns)
> $stat
> [1] 54.50223
> $sum
> [1] 2.843879
>
> Lo.Mac() gave me
> > Lo.Mac(returns, 2)
> $Stats
>            M1        M2
> k=2 -2.083685 -1.733119
>
> How do we evaluate the result from Auto.VR() or Lo.Mac()? In other
> words, how can we say that the null hypothesis is rejected from those
> results?
>
> David
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

        [[alternative HTML version deleted]]

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