Home » date » 2010 » Nov » 30 »

*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 14:35:35 +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/t1291127622fsuezg1ukcg5lpw.htm/, Retrieved Tue, 30 Nov 2010 15:33:42 +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/t1291127622fsuezg1ukcg5lpw.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 «
777 771.0025395 766.2832641 774.6189011 775.249313 762.8651139 763.9851966 760.6576727 757.3850577 753.3723875 741.2780165 738.8010191 748.5487391 757.2465102 744.3967177 732.9245867 721.4659621 722.6534715 721.5230731 726.2202786 723.814811 716.0578063 710.8546362 706.8600348 692.2203981 682.687768 669.0675219 680.9704735 676.1974813 666.9811249 669.4851015 667.3785429 655.2064429 669.3517314 666.5699167 652.7083003 664.1133845 659.7849694 666.7600903 655.762446 654.2374406 653.4994795 642.3227779 652.2762971 642.1281171 643.1919009 656.9531981 662.9925213 671.5253738 659.0094816 656.7724165 652.8953082 652.1549159 647.1019477 648.2406735 648.0068102 637.5748509 641.6428711 640.0088762 648.8846485 644.1839962 655.4174823 645.8246092 640.5581238 644.7443725 634.2322117 630.6408798 616.5100525 623.9949484 609.4977882 619.2275154 631.2183457 619.5024039 613.5777085 603.4842779 602.2421079 589.2296112 599.8399215 590.0365076 587.04896 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)-1.079062
Kurtosis S.E. (small sample)0.218222
TEST 1 (small sample)-4.944785
TEST 1 Prob. (small sample)0.000000
Quasi Random-Walk probability0.962935
Kurtosis (large sample)-1.080280
Kurtosis S.E. (large sample)0.219308
TEST 1 (large sample)-4.925849
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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