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R Software Module

qrwid.wasp

Title produced by software

Quasi Random-Walk Identification

Date of computation

Tue, 30 Nov 2010 13:00:54 +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/t129112193947lzbs4zana29p8.htm/, Retrieved Mon, 29 Apr 2024 09:21:26 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103364, Retrieved Mon, 29 Apr 2024 09:21:26 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

125

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

-     [Quasi Random-Walk Identification] [alt 3m 120] [2010-11-30 12:43:52] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D  [Quasi Random-Walk Identification] [alt 3m 500] [2010-11-30 12:48:25] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D    [Quasi Random-Walk Identification] [alt american expr...] [2010-11-30 12:53:38] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D      [Quasi Random-Walk Identification] [alt american expr...] [2010-11-30 12:56:16] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D        [Quasi Random-Walk Identification] [alt at&t 120] [2010-11-30 12:59:02] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D            [Quasi Random-Walk Identification] [alt at&t 500] [2010-11-30 13:00:54] [81b44bf7e2a3251743773b0d7e91dd87] [Current]
-    D              [Quasi Random-Walk Identification] [alt bank 120] [2010-11-30 13:03:13] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                [Quasi Random-Walk Identification] [alt bank 500] [2010-11-30 13:04:53] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                  [Quasi Random-Walk Identification] [alt boeing 120] [2010-11-30 13:06:56] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                    [Quasi Random-Walk Identification] [alt boeing 500] [2010-11-30 13:08:10] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                      [Quasi Random-Walk Identification] [alt caterpillar 120] [2010-11-30 13:14:03] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                        [Quasi Random-Walk Identification] [alt caterpillar 500] [2010-11-30 13:15:31] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                  [Quasi Random-Walk Identification] [alt chevron 120] [2010-11-30 13:23:40] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                    [Quasi Random-Walk Identification] [alt chevron 500] [2010-11-30 13:25:50] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                      [Quasi Random-Walk Identification] [alt cisco 120] [2010-11-30 13:34:04] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                        [Quasi Random-Walk Identification] [alt cisco 500] [2010-11-30 13:35:26] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                          [Quasi Random-Walk Identification] [alt coca cola 120] [2010-11-30 13:37:09] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-                                 [Quasi Random-Walk Identification] [alt coca cola 500] [2010-11-30 13:42:36] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                              [Quasi Random-Walk Identification] [General Electric] [2010-11-30 13:45:39] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                [Quasi Random-Walk Identification] [alt GE 500] [2010-11-30 13:46:55] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                  [Quasi Random-Walk Identification] [alt sim1 120] [2010-11-30 13:50:27] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                    [Quasi Random-Walk Identification] [alt sim1' 120] [2010-11-30 13:55:10] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                      [Quasi Random-Walk Identification] [alt sim 2 120] [2010-11-30 13:56:48] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                        [Quasi Random-Walk Identification] [alt sim 3 120] [2010-11-30 13:58:38] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                          [Quasi Random-Walk Identification] [alt sim 4 120] [2010-11-30 13:59:55] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                            [Quasi Random-Walk Identification] [alt sim 5 120] [2010-11-30 14:01:15] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                              [Quasi Random-Walk Identification] [alt sim 6 120] [2010-11-30 14:02:32] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                [Quasi Random-Walk Identification] [alt sim 7 120] [2010-11-30 14:03:26] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                  [Quasi Random-Walk Identification] [alt sim 8 120] [2010-11-30 14:04:32] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                    [Quasi Random-Walk Identification] [alt sim 9 120 ] [2010-11-30 14:05:40] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                      [Quasi Random-Walk Identification] [alt sim 10 120] [2010-11-30 14:06:47] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                        [Quasi Random-Walk Identification] [alt sim 1 500] [2010-11-30 14:11:06] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                          [Quasi Random-Walk Identification] [alt sim 2 500] [2010-11-30 14:11:56] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                            [Quasi Random-Walk Identification] [alt sim 3 500] [2010-11-30 14:12:49] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                              [Quasi Random-Walk Identification] [alt sim 4 500] [2010-11-30 14:13:56] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                                [Quasi Random-Walk Identification] [alt sim 5 500] [2010-11-30 14:14:50] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                                  [Quasi Random-Walk Identification] [alt sim 6 500] [2010-11-30 14:15:40] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                                    [Quasi Random-Walk Identification] [alt sim 7 500] [2010-11-30 14:16:33] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                                      [Quasi Random-Walk Identification] [alt sim 8 500] [2010-11-30 14:17:30] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                                        [Quasi Random-Walk Identification] [alt sim 9 500] [2010-11-30 14:18:29] [6e6854a111a7f2438dd668bfaa6f3aa0] 
-    D                                                                          [Quasi Random-Walk Identification] [alt sim 10 500] [2010-11-30 14:19:18] [6e6854a111a7f2438dd668bfaa6f3aa0] 

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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)	2.286986
Kurtosis S.E. (small sample)	0.218006
TEST 1 (small sample)	10.490469
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	2.252204
Kurtosis S.E. (large sample)	0.219089
TEST 1 (large sample)	10.279859
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)

2.286986 \tabularnewline Kurtosis S.E. (small sample)

0.218006 \tabularnewline TEST 1 (small sample)

10.490469 \tabularnewline TEST 1 Prob. (small sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \tabularnewline Kurtosis (large sample)

2.252204 \tabularnewline Kurtosis S.E. (large sample)

0.219089 \tabularnewline TEST 1 (large sample)

10.279859 \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=103364&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]

2.286986[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]

0.218006[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]

10.490469[/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]

2.252204[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]

0.219089[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]

10.279859[/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=103364&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103364&T=0

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The GUIDs for individual cells are displayed in the table below:

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	2.286986
Kurtosis S.E. (small sample)	0.218006
TEST 1 (small sample)	10.490469
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	2.252204
Kurtosis S.E. (large sample)	0.219089
TEST 1 (large sample)	10.279859
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

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Parameters (R input):

R code (references can be found in the software module):

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