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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 13:48:23 +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/t12911247988xld05acy0qxei4.htm/, Retrieved Tue, 30 Nov 2010 14:46:38 +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/t12911247988xld05acy0qxei4.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 «
10000 9908.13621 10016.68697 9896.567089 10002.01565 9915.200845 9859.797919 9800.489608 9886.402125 9936.055413 9883.837692 9856.428075 9969.409076 9858.65017 9898.270277 9810.168878 9869.166963 9842.191504 9719.034097 9742.97054 9625.60955 9576.16431 9527.294484 9629.563712 9568.47783 9446.864234 9382.568248 9484.527346 9377.658713 9373.643166 9489.789954 9470.230233 9427.037915 9538.113117 9460.50918 9365.068399 9343.994213 9427.247815 9363.698922 9302.853864 9296.376246 9232.516043 9114.297137 9139.250057 9254.71107 9250.151748 9275.88625 9317.259272 9194.535518 9227.387366 9168.21502 9089.433017 9174.216121 9131.908261 9179.254521 9219.697674 9214.737622 9304.901269 9354.91166 9309.787225 9195.544416 9269.752157 9366.80567 9332.187731 9402.242164 9459.663472 9447.155584 9410.021744 9521.41218 9539.718885 9632.69508 9554.737918 9490.284095 9542.117761 9653.385754 9719.1779 9666.671509 9554.243996 9456.464543 9467.286365 9551.2 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)-1.297451
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-2.948103
TEST 1 Prob. (small sample)0.003200
Quasi Random-Walk probability0.952645
Kurtosis (large sample)-1.293574
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-2.880442
TEST 1 Prob. (large sample)0.003800
Quasi Random-Walk probability0.950434
 
Charts produced by software:
 
Parameters (Session):
 
Parameters (R input):
 
R code (references can be found in the software module):
 





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