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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 14:15:42 +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/t1291126434cqyqhd3g12gbheq.htm/, Retrieved Tue, 30 Nov 2010 15:13:54 +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/t1291126434cqyqhd3g12gbheq.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 «
1000 992.2404517 989.9433523 994.3566217 1001.30221 998.1471821 996.8486424 988.1168084 997.001227 995.1032627 999.4221176 999.1229708 1005.428834 999.5350522 1000.933151 995.8872172 1003.998989 1013.938346 1012.592422 1018.497656 1018.029091 1020.469441 1011.377303 1001.71782 1000.163202 996.4840773 988.0274777 979.9888346 976.7017536 978.5053382 975.7369544 971.6660267 975.3116383 983.089769 976.3375742 967.2587918 968.7636224 971.9316972 969.8208951 963.8600044 966.1791702 966.9322971 967.6184328 970.3836333 971.6446327 980.1455724 972.1014816 975.3124236 974.2000806 974.1060646 975.0013218 971.5493108 973.5757361 979.325207 989.1054783 985.3755492 977.9686513 979.0510488 973.5030266 970.6042346 965.7938628 967.3594319 967.0405036 959.0717103 961.7795557 959.7553804 964.556847 963.9863604 965.4639603 961.1988433 957.7119464 957.1238838 965.987454 959.3372276 951.6898145 950.6721472 960.3890003 953.828973 952.027446 943.4577715 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)-1.197062
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-5.485516
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.197101
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-5.458526
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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