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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 14:04:50 +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/t12911257921gdamtk9eyf7v71.htm/, Retrieved Tue, 30 Nov 2010 15:03:12 +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/t12911257921gdamtk9eyf7v71.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 «
50 49.07735057 48.58264039 46.87925231 46.75019227 48.09682842 46.25582452 46.60179784 45.25104446 44.34745588 43.04931307 42.83410436 42.11463391 41.04069668 42.74840989 43.04520709 42.73584764 41.36195736 41.23079597 41.94015776 41.42758852 40.33032034 40.90484921 40.19818621 40.90621812 39.33290764 40.6959663 40.1404224 40.98907025 40.40491568 40.26814059 41.84529727 39.94639998 39.7214159 38.99806525 39.81667779 40.25566611 40.40530769 38.8805866 37.44006432 38.91609274 39.83644074 39.41950069 37.49660241 37.55786163 36.02997303 35.4813664 36.46092881 37.58868724 38.14955525 39.27951761 37.4852161 36.49536757 36.03826657 35.69470234 34.39566629 33.40793106 33.70550843 33.05822104 32.89407049 33.6168436 32.81685578 32.98174112 33.16597873 31.40889587 31.94340557 30.20845465 32.1007895 33.56663901 34.52004693 34.78448704 36.69613789 35.86445112 36.71402098 37.18483092 37.85462295 36.72741792 35.29218258 36.6911738 37.02927614 38 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)-0.838694
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-1.905702
TEST 1 Prob. (small sample)0.056200
Quasi Random-Walk probability0.225472
Kurtosis (large sample)-0.853867
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-1.901332
TEST 1 Prob. (large sample)0.056200
Quasi Random-Walk probability0.225472
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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