variance ratio test

variance ratio test

[′ver·ē·əns ′rā·shō ‚test]
(statistics)
A technique for comparing the spreads or variabilities of two sets of figures to determine whether the two sets of figures were drawn from the same population. Also known as F test.
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References in periodicals archive ?
A number of statistical tests comprising Ljung-Box Q statistics test, Runs test, GARCH volatility test and variance ratio test have been used to test randomness of world markets.
Using the variance ratio test, he pointed out that the random model on weekly returns did exist for those countries.
In this paper, we investigate the Warsaw Stock Exchange efficiency in weak-form using the most popular tests: runs test and variance ratio test [Lo and MacKinlay 2002, Karemera et al.
MacKinlay, 1989, "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," Journal of Econometrics 40, 203-238.
The purpose of applying the Cochrane variance ratio test and Campbell-Mankiw decomposition test is to estimate the size of the random walk or permanent stochastic trend component in the net discount ratio.
Needham, MA: Kluwer Academic, 1989] shows that the variance ratio test has good power against fractionally integrated alternatives.
If this "planned" addition to inventory is large enough, the variance ratio test for smoothing will fail.
When applied to macropartisanship, the variance ratio test rejects the null hypothesis at the [Alpha] = 0.
Evidence of Weak Level Efficiency - Introduction; Serial Correlation Coefficient Test; Runs Test; Variance Ratio Test.
To separate the random component from the systematic component reflecting the changes of an underlying economic model, we employ the variance ratio test first developed by Tintner (1940) and the corresponding tests statistics by Lo and MacKinlay (1988).
We implement the variance ratio test for k = 5 trading days.