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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 14:12:36 +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/t1291126267rsbtfhkap04b0yj.htm/, Retrieved Tue, 30 Nov 2010 15:11:07 +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/t1291126267rsbtfhkap04b0yj.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 «
80 80.04359604 81.04559129 82.48631707 80.69950637 81.27688691 80.57651794 79.09815724 80.96304953 80.91546465 82.4296846 82.42911434 81.67389671 81.52684792 82.20599925 80.99656751 80.01270864 78.3801 77.37589014 75.87617062 75.97615477 74.76572401 75.97058634 77.76879875 78.85817107 78.42902428 76.62370606 75.43882939 75.61032331 76.69745783 78.29087578 80.09389874 80.42764501 78.99510508 78.86576287 77.44121973 75.84837629 77.3782573 79.18492609 79.32439081 77.85273713 77.5872613 79.1944817 80.55133478 79.05067351 77.90167198 78.40298778 78.67070723 76.78874261 74.85951978 76.80749164 76.68434722 76.1283322 76.35013488 75.51955519 75.24176386 75.89839164 77.48512481 77.63687447 76.81566465 76.5593101 75.74659914 74.95751275 74.18538832 75.99667899 77.52766117 78.14892897 76.46528948 78.28721615 80.2743321 80.58537095 80.14322044 78.62836035 78.03279209 77.80220474 78.04915561 76.19890397 77.72284608 77.20370823 75.59611463 76.2 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)-1.146899
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-5.255648
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.147440
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-5.232082
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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