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st: lomackinlay corrected
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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