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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 14:32:25 +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/t1291127429521f7o0es8fhfiy.htm/, Retrieved Tue, 30 Nov 2010 15:30:29 +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/t1291127429521f7o0es8fhfiy.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 «
6000 6030.974904 6077.775817 6151.807352 6057.772717 5985.887621 6044.628437 5980.446223 5889.186735 5872.020984 5929.449694 5979.070576 5948.019123 6033.962556 6126.685553 6201.502571 6221.709138 6312.670375 6285.238577 6319.816212 6349.038403 6382.439862 6460.437457 6517.075405 6600.634618 6677.924214 6581.314484 6619.425964 6554.531669 6469.930986 6448.888749 6435.335932 6375.393226 6320.341094 6295.614182 6294.879374 6320.598833 6353.66764 6364.691054 6267.906042 6184.566253 6146.761091 6104.529951 6194.768235 6267.223022 6287.954453 6333.604238 6302.399868 6286.54897 6257.150151 6173.616168 6228.626757 6129.886922 6048.238987 6026.135938 5994.356805 5933.752058 5976.797941 5972.683573 6007.739709 5936.320422 5969.761371 6035.586009 5941.628952 6031.635877 6031.911114 5977.273998 6028.424506 6019.83042 6059.578028 6063.102388 6118.105338 6144.339391 6231.24342 6157.97632 6244.054127 6256.463719 6173.327067 6130.533276 6094.9805 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)-1.161660
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-5.323289
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.162053
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-5.298715
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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