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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 13:45:23 +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/t1291124627iehudtzgbyj9nci.htm/, Retrieved Tue, 30 Nov 2010 14:43:47 +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/t1291124627iehudtzgbyj9nci.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 «
1000 1004.518363 1015.6972 1009.398874 1019.878681 1018.407503 1006.299745 992.3552384 999.6935915 985.9986577 984.3936262 977.7189739 982.2985922 995.0703862 1003.198333 1004.102871 1013.908691 1023.20571 1015.574088 1011.74895 1011.411524 1003.89278 998.6476398 1002.464954 998.6475087 983.8563465 986.192717 988.0268403 977.2913314 970.1987908 980.6976676 986.5061818 978.2642425 980.5179466 980.4859966 973.0446802 978.2161897 983.9504095 996.0629201 1009.369038 1015.096691 1022.717706 1025.038691 1025.776183 1015.026537 1019.0892 1024.839272 1012.641919 1018.779942 1006.642527 1001.431368 1008.971682 998.734187 992.6392779 990.8767305 997.2383992 991.5267512 1003.770819 989.0986475 990.0448706 989.241697 997.6136892 995.2886674 997.589192 1007.381332 1002.328427 1004.08446 1006.424363 1012.951388 1011.205048 996.7439836 1000.968453 1005.824202 1000.474578 998.1547292 991.2593009 987.5979789 976.0949872 961.5525668 946.7821597 942 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)-1.066203
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-2.422654
TEST 1 Prob. (small sample)0.015000
Quasi Random-Walk probability0.886808
Kurtosis (large sample)-1.071928
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-2.386897
TEST 1 Prob. (large sample)0.016800
Quasi Random-Walk probability0.871545
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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