st: Lo-MacKinlay variance ratio test

[Kit Baum <baum@bc.edu>]

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
    arbitrary heteroskedasticity.

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:// 
www.pupress.princeton.edu/books/lo/

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
http://ideas.repec.org/e/pba1.html


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