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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 13:44:04 +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/t1291124545xyeie0762kyxs11.htm/, Retrieved Tue, 30 Nov 2010 14:42:25 +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/t1291124545xyeie0762kyxs11.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 «
1800 1763.979039 1779.029667 1768.150109 1736.917165 1735.078506 1774.522051 1806.476453 1807.566701 1811.798488 1789.081694 1824.360939 1838.732218 1875.970161 1846.709707 1856.698981 1818.268535 1849.762779 1811.633449 1840.395442 1848.829836 1819.92462 1798.703752 1805.464003 1814.79537 1795.059123 1822.280129 1816.689361 1806.654936 1835.477755 1801.29287 1768.438887 1766.380152 1804.449381 1779.254435 1796.597975 1824.404056 1804.838735 1830.72049 1792.344131 1795.027693 1767.196886 1737.747086 1728.167671 1745.64092 1767.326352 1796.855977 1824.208596 1831.189492 1847.474627 1880.695153 1916.379925 1913.439863 1935.996018 1956.898014 1972.302522 1996.883405 1982.645128 2005.431203 2044.385688 2073.281757 2038.487711 2023.066059 2023.929551 2041.191356 2066.279153 2070.437319 2044.697991 2075.662881 2038.755132 2064.654912 2043.304597 2058.76352 2057.757362 2033.185156 2006.453846 1975.15876 2003.032558 2008.506146 2021.518254 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)-1.356712
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-3.082758
TEST 1 Prob. (small sample)0.002000
Quasi Random-Walk probability0.956788
Kurtosis (large sample)-1.350374
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-3.006921
TEST 1 Prob. (large sample)0.002600
Quasi Random-Walk probability0.954762
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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