CHOWDENNING Procedure

@ChowDenning computes the multiple variance ratio statistic from Chow and Denning(1993).

@ChowDenning( options ) series start end

Parameters

series	The series to be tested. By default, this is the series being tested for independence, but it can be (with the DIFF option) the series which is hypothesized to be a random walk.
start, end	range of series to use. By default, the defined range of series.

Options

LAGS=number of lags examined [2]

ROBUST/[NOROBUST]

If ROBUST, computes heteroscedasticity robust standard errors

[CORRECT]/NOCORRECT

If CORRECT, corrects for bias in the variance.

[CENTER]/NOCENTER

If CENTER, subtracts a fixed mean from the differenced data.

DIFF/[NODIFF]

If DIFF, difference the data, which means that the null is that the input series is a (possibly drifting) random walk rather than a series of independent increments.