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*The author of this computation has been verified*
R Software Module: /qrwid.wasp (opens new window with default values)
Title produced by software: Quasi Random-Walk Identification
Date of computation: Tue, 30 Nov 2010 13:40:02 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Nov/30/t1291124467m2pbziq70a9nidm.htm/, Retrieved Tue, 30 Nov 2010 14:41:07 +0100
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Nov/30/t1291124467m2pbziq70a9nidm.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
4000 3942.878099 3990.950424 3951.518765 3935.469098 3953.954088 3937.303107 3850.280423 3842.769917 3924.353476 3998.754787 3936.292409 3935.542969 4017.56045 3953.506383 3920.783906 3995.596674 3974.059403 3898.782215 3843.789198 3799.639013 3842.930858 3854.411663 3849.659275 3818.718759 3794.176124 3803.223729 3902.022344 3845.487325 3857.326595 3773.066868 3700.551816 3772.491441 3733.815814 3742.743108 3659.960531 3694.540184 3743.581052 3816.207104 3718.935219 3654.016472 3729.263522 3772.805335 3839.224601 3785.100054 3870.184967 3931.377787 3948.327822 3856.88853 3873.865928 3851.165922 3756.669556 3750.121636 3685.269858 3618.218932 3553.342289 3642.095065 3725.376885 3678.395999 3721.375205 3662.427172 3576.056882 3575.701562 3528.370814 3535.360042 3618.833382 3652.771361 3599.931094 3697.933254 3619.415857 3542.318551 3611.945734 3662.770289 3652.994292 3685.196739 3587.690746 3623.597171 3702.869523 3678.894822 3665.6 etc...
 
Output produced by software:



Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)Value
Kurtosis (small sample)-1.122841
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-2.551350
TEST 1 Prob. (small sample)0.010400
Quasi Random-Walk probability0.918800
Kurtosis (large sample)-1.126215
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-2.507778
TEST 1 Prob. (large sample)0.012000
Quasi Random-Walk probability0.908735
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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