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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 14:24:48 +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/t129112698537fa5oykliuiejj.htm/, Retrieved Tue, 30 Nov 2010 15:23:05 +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/t129112698537fa5oykliuiejj.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 «
60000 60203.48965 60280.96872 60308.58092 60093.68611 60217.38696 60189.15028 59982.32541 59860.95428 59980.82178 59805.18431 59975.27143 60006.49296 60238.85378 60360.07597 60488.92423 60513.29119 60426.92652 60345.15251 60348.22877 60165.8276 60409.66129 60205.94814 60144.72333 59961.53735 59997.6955 60212.55873 59989.99333 59780.90329 59913.26274 59921.05738 60077.89288 59965.05415 59881.53215 59717.64617 59799.11704 60030.20758 60176.06459 60243.37928 60446.63258 60202.91436 60252.00468 60473.68832 60234.3917 60207.86505 60295.29859 60085.77835 59993.16683 60061.10753 59912.3562 60131.25122 60004.90784 59792.25913 59974.91401 59934.11616 59864.12382 60075.00213 60216.54724 60436.77927 60441.21074 60568.35899 60396.91619 60262.86062 60308.73995 60495.3062 60368.18476 60514.16313 60273.42333 60073.51685 59897.58587 59685.11517 59615.98477 59791.99516 59995.71341 59818.28277 59877.68641 59886.49802 60030.96626 59959.21543 59899.96 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)-1.130654
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-5.181202
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.131356
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-5.158745
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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