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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 14:14:25 +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/t1291126361xzraqevdk7ies48.htm/, Retrieved Tue, 30 Nov 2010 15:12:41 +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/t1291126361xzraqevdk7ies48.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 «
300 304.0615036 308.4132678 303.4135413 307.4243819 309.2145955 304.2269507 305.8919048 302.7305327 299.2199851 298.4560703 300.3743455 299.0794676 300.4077399 301.6947095 304.3476026 301.7358195 305.7385921 305.2924864 304.412786 302.2005496 303.1506988 297.8910839 301.5375416 299.7232139 303.5356856 304.1450189 306.7318276 304.1041308 305.819215 310.9850377 314.8550035 319.1135867 322.9831217 323.0112932 327.0081554 323.5165547 321.8306347 321.7348521 318.3790572 319.4411421 324.502135 321.8376345 325.1029977 320.5592558 325.7950278 323.6359908 319.0584769 322.6189231 323.085857 324.1681569 318.7600365 315.9344258 320.9363924 321.5745268 321.0172259 317.089934 315.4808962 311.4452055 312.251544 313.6265956 312.3330306 315.5553613 317.3900238 319.9349149 323.6349744 320.2441634 318.4131812 323.6620576 318.201733 319.6785646 316.9664875 314.9816498 316.2149296 319.5804973 320.145707 318.3944574 314.6967007 312.353093 310.1064905 3 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)-1.072257
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-4.913601
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.073543
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-4.895130
TEST 1 Prob. (large sample)0.000000
Quasi Random-Walk probability0.962935
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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