Eviews里是有关于方差比检验的，view-variance ratio test。EViews allows you to perform the Lo and MacKinlay variance ratio test for homoskedastic and heteroskedastic random walks, using the asymptotic normal distribution (Lo and MacKinlay, 1988) or wild bootstrap (Kim, 2006) to evaluate statistical significance. In addition, you may compute the rank, rank-score, or sign-based forms of the test (Wright, 2000), with bootstrap evaluation of significance. In addition, EViews offers Wald and multiple comparison variance ratio tests (Richardson and Smith, 1991; Chow and Denning, 1993), so you may perform joint tests of the variance ratio restriction for several intervals.
扫码加好友，拉您进群
全部版块
我的主页
收藏
