Home » date » 2010 » Nov » 30 »

*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 09:59:50 +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/t1291111092l4eob2q53mjpgqd.htm/, Retrieved Tue, 30 Nov 2010 10:58:12 +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/t1291111092l4eob2q53mjpgqd.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 «
26958 27113 27317 27222 27405 27340 27268 27511 27623 27361 27615 27477 27265 27404 27185 27244 27191 27368 27691 27859 27861 27811 28017 27726 27710 28025 27976 27973 28256 28064 28216 28139 28176 28349 28489 28649 28732 28973 28903 29040 29230 28784 28942 28677 28749 28988 28821 28636 28877 29084 29322 29470 29560 29601 29550 29634 29714 29696 29510 29503 29178 28952 29126 29469 29309 29603 29438 29725 29763 29480 29786 29235 29272 29258 29204 29566 29765 29935 29673 29687 29851 29645 29422 29667 29455 29645 29839 29896 30073 29986 29925 29381 28959 28894 28156 27994 28045 26978 27506 27278 27631 28025 28042 27475 27923 28017 28066 28015 27459 27604 26952 27301 26998 26585 26543 26873 26947 27032 27132 27235 27246 27162 27209 27575 27886 28092 28132 27762 27985 27904 28016 27747 27833 27470 27224 27048 26956 27543 27512 27306 27680 27625 27764 27995 28131 28086 27 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)1.789037
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)8.198233
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)1.759161
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)8.021402
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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Software written by Ed van Stee & Patrick Wessa


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