Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: rvlm kpss robwhittle roblm lobrob gph sclmtest neweywest

Quantlet: lo
Description: Calculation of the Lo statistic for long-range dependence. The first argument of the quantlet is the series, the second optional argument is the vector of truncation lags of the autocorrelation consistent variance estimator. If the second optional argument is missing, the vector of truncation lags is set to m = 5, 10, 25, 50. The quantlet returns the estimated statistic with its corresponding order. If the estimated statistic is outside the interval (0.809, 1.862), which is the 95 percent confidence interval for no long-memory, a star symbol * is displayed in the third column. The other critical values are in Lo's paper.


Reference(s):

Usage: q = lo(y{,m})
Input:
y vector
m vector
Output:
q vector

Example:

;detection of the existence of long-memory in the volatility

;Since no optional argument is provided, Lo statistic is calculated

;for the expansion orders 5, 10, 25, 50. Since for the orders 5 and 10,

;the statistic is outside the 95 percent confidence interval for no 

;long-memory, a star is displayed after the statistic.

library("times")

x = read("dmus58.dat")

x = x[1:2000]

y = abs(tdiff(x))

q = lo(y)

q

Result:



Contents of q

[1,] " Order   Statistic"

[2,] "__________________ "

[3,] ""

[4,] "    5     2.0012 *"

[5,] "   10     1.8741 *"

[6,] "   25     1.7490 "

[7,] "   50     1.6839 "

Example:

;detection of the existence of long-memory in the volatility

;In that case, the Lo statistic is calculated for the expansion

;orders 10, 15, and 20, which are provided as second arguments

;of the quantlet. Since the statistic is outside the 95 percent 

;confidence interval for no long-memory, for the order 10, a 

;star is displayed after the statistic.

library("times")

x = read("dmus58.dat")

x = x[1:2000]

y = abs(tdiff(x))

m = #(10,15,20)

q = lo(y,m)

q

Result:



Contents of q

[1,] " Order   Statistic"

[2,] "__________________ "

[3,] ""

[4,] "   10     1.8741 *"

[5,] "   15     1.8065 "

[6,] "   20     1.7744 "


Library: times
See also: rvlm kpss robwhittle roblm lobrob gph sclmtest neweywest

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Gilles Teyssiere, 980425. Revised 981210
(C) MD*TECH Method and Data Technologies, 21.9.2000