LoMackinlay Variance Ratio Test in stata

[Shaher Khan]

Hi there,

I'm relatively new to stata and so do not know much about the commands. I have a data set with returns of 2 indices and need to perform a LoMackinlay Variance ratio test as well as the heteroskedasticity-robust standardized variance ratio test of Lo and MacKinlay. I can't seem to find the command to do it in stata though. Would anyone be able to help.

Thank you

Shaher

[Igor Paploski]

Hi Shaher,

I've never used the Lo-MacKinlay variance ratio test, but there seems to be an implementation of it on STATA available here.

[Shaher Khan]

Thanks Igor just found this too, thanks. My problem now is that the dataset i have contains returns of an index however when i calculate the log of those returns, many values are missing. so when i use the lo mackinlay test the output is virtually non existent. Not too sure what the issue is