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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 14:20:21 +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/t1291126739ymkh0h2go19poel.htm/, Retrieved Tue, 30 Nov 2010 15:18:59 +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/t1291126739ymkh0h2go19poel.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 «
4444 4448.851181 4483.144713 4470.772936 4483.404292 4501.798254 4489.750712 4461.69023 4445.541837 4418.030188 4391.975185 4421.634548 4422.095689 4391.803576 4358.811862 4363.043647 4389.254643 4423.293594 4460.676673 4490.751572 4522.183758 4533.530845 4539.117172 4518.285964 4550.843337 4587.652923 4610.445603 4598.202462 4599.167928 4571.860051 4597.051481 4592.933453 4590.632291 4581.764976 4586.719529 4586.227361 4568.497221 4531.641254 4535.041469 4569.399697 4592.40716 4589.555048 4569.808249 4602.349368 4629.520063 4638.770273 4675.927872 4666.563579 4665.6907 4658.988316 4625.728694 4623.83229 4615.101712 4612.94331 4581.125607 4565.313196 4537.473901 4518.607192 4494.50594 4511.963718 4530.649581 4535.362497 4561.752263 4551.492213 4528.390296 4535.314556 4529.323751 4509.48164 4505.951896 4506.189828 4533.768526 4500.008073 4529.450701 4501.348194 4522.480801 4556.666812 4538.322151 4541.257347 4508.669045 4499.803586 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)-1.163024
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-5.329540
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.163403
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-5.304873
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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