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R Software Module

qrwid.wasp

Title produced by software

Quasi Random-Walk Identification

Date of computation

Tue, 30 Nov 2010 09:59:50 +0000

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2010/Nov/30/t1291111092l4eob2q53mjpgqd.htm/, Retrieved Mon, 29 Apr 2024 16:18:47 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103274, Retrieved Mon, 29 Apr 2024 16:18:47 +0000

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User-defined keywords

Estimated Impact

113

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

-     [Quasi Random-Walk Identification] [] [2010-11-30 08:02:08] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D  [Quasi Random-Walk Identification] [] [2010-11-30 08:45:52] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D    [Quasi Random-Walk Identification] [] [2010-11-30 08:47:25] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D      [Quasi Random-Walk Identification] [] [2010-11-30 08:49:51] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D        [Quasi Random-Walk Identification] [] [2010-11-30 08:51:25] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D          [Quasi Random-Walk Identification] [] [2010-11-30 08:52:53] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D            [Quasi Random-Walk Identification] [] [2010-11-30 09:01:31] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D              [Quasi Random-Walk Identification] [] [2010-11-30 09:37:38] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D                [Quasi Random-Walk Identification] [] [2010-11-30 09:58:29] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D                    [Quasi Random-Walk Identification] [] [2010-11-30 09:59:50] [5842cf9dd57f9603e676e11284d3404a] [Current]
-    D                      [Quasi Random-Walk Identification] [] [2010-11-30 10:02:29] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                        [Quasi Random-Walk Identification] [] [2010-11-30 10:04:50] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                          [Quasi Random-Walk Identification] [] [2010-11-30 10:06:49] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                            [Quasi Random-Walk Identification] [] [2010-11-30 10:07:59] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                              [Quasi Random-Walk Identification] [] [2010-11-30 10:09:02] [7d64bf19f34ddcdf2626356c9d5bd60d] 

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Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	1.789037
Kurtosis S.E. (small sample)	0.218222
TEST 1 (small sample)	8.198233
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	1.759161
Kurtosis S.E. (large sample)	0.219308
TEST 1 (large sample)	8.021402
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

\begin{tabular}{lllllllll}
\hline

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model \tabularnewline

Statistics of (1-B)lnY(t)

Value \tabularnewline Kurtosis (small sample)

1.789037 \tabularnewline Kurtosis S.E. (small sample)

0.218222 \tabularnewline TEST 1 (small sample)

8.198233 \tabularnewline TEST 1 Prob. (small sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \tabularnewline Kurtosis (large sample)

1.759161 \tabularnewline Kurtosis S.E. (large sample)

0.219308 \tabularnewline TEST 1 (large sample)

8.021402 \tabularnewline TEST 1 Prob. (large sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103274&T=0

[TABLE]

[ROW][C]Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model[/C][/ROW]

[ROW]

Statistics of (1-B)lnY(t)[/C]

Value[/C][/ROW] [ROW][C]Kurtosis (small sample)[/C]

1.789037[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]

0.218222[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]

8.198233[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]

0.000000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.962935[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]

1.759161[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]

0.219308[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]

8.021402[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]

0.000000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.962935[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103274&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103274&T=0

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Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	1.789037
Kurtosis S.E. (small sample)	0.218222
TEST 1 (small sample)	8.198233
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	1.759161
Kurtosis S.E. (large sample)	0.219308
TEST 1 (large sample)	8.021402
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

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