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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 14:21:56 +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/t1291126817eclv84utlvguaw4.htm/, Retrieved Tue, 30 Nov 2010 15:20:17 +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/t1291126817eclv84utlvguaw4.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 «
15000 14918.31274 14909.97975 14914.00411 14879.45811 14845.46143 14806.29797 14824.28773 14743.92219 14716.25731 14661.71341 14628.3686 14591.29165 14500.80557 14479.291 14426.95555 14482.747 14452.82848 14465.34031 14386.27016 14480.62048 14537.38392 14453.3156 14460.64269 14462.31262 14504.9722 14506.93132 14589.70378 14540.33032 14485.85008 14477.65781 14463.62102 14450.5948 14362.34208 14274.60082 14209.98604 14270.54831 14294.78369 14352.709 14279.48257 14365.02662 14335.35697 14391.97965 14325.61636 14414.03324 14398.48686 14359.67748 14455.0096 14554.07852 14552.16575 14609.17225 14512.20647 14453.56604 14388.15914 14469.29466 14543.48159 14575.59338 14587.71323 14659.05148 14714.29056 14659.52464 14645.72021 14714.72437 14646.79792 14583.42985 14487.84288 14570.51849 14569.93514 14483.13702 14480.99894 14525.18558 14524.45162 14558.5537 14517.33712 14571.51747 14519.06763 14451.41431 14470.39481 14520.22051 14500.60606 14 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)-1.098708
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-5.034813
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.099730
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-5.014536
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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