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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 14:03:28 +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/t1291125701ftuxvd40mxixrq5.htm/, Retrieved Tue, 30 Nov 2010 15:01:41 +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/t1291125701ftuxvd40mxixrq5.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 «
5000 5050.869633 5083.801841 5153.283038 5170.378313 5105.345201 5057.41886 5015.08844 4930.296076 5026.752177 4964.386074 4909.160116 4977.288654 4909.923288 4956.935218 4903.365173 4834.219523 4797.047784 4775.667719 4844.315344 4874.91003 4787.581865 4779.934418 4716.624331 4790.525305 4814.259912 4754.10397 4804.860844 4730.382159 4717.48147 4662.086366 4669.035028 4754.108814 4706.020706 4674.979198 4658.59595 4600.981239 4609.172543 4698.23404 4613.459595 4685.901024 4775.440171 4781.672913 4835.692088 4800.274823 4809.586544 4902.261385 4904.143652 4832.149547 4820.310982 4796.025894 4734.440732 4748.836694 4773.846363 4836.065735 4934.7894 4942.162769 4998.290637 5072.340867 5161.915867 5120.257922 5039.841476 5112.199545 5183.060538 5151.134036 5243.22256 5286.878543 5274.558854 5325.153177 5254.266926 5322.666106 5313.270517 5281.457781 5290.844782 5322.846475 5253.742465 5225.522904 5323.48042 5406.505561 5438.683193 54 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)-1.297828
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-2.948959
TEST 1 Prob. (small sample)0.003200
Quasi Random-Walk probability0.952645
Kurtosis (large sample)-1.293935
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-2.881247
TEST 1 Prob. (large sample)0.003800
Quasi Random-Walk probability0.950434
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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