Subject: | XploRe Application Guide |
See XploRe: | lo rvlm lobrob gph robwhittle roblm hurst |
Quantlet: | aslm03 | |
Description: | performs the long-memory analysis of returns of DBS50 | |
Download: | aslm03.xpl |
library("times") x=read("dbs50.dat") nobs=4740 ; uncomment the following line for sending output to a file ; output("dbs50x.out","reset") x=x[1:nobs] y=x l=lo(y) k1=kpss(y) k=rvlm(y) t=lobrob(y) g=gph(y) d=robwhittle(y) dd=roblm(y) h=hurst(y,50) l k1 k t g d dd h ; uncomment the following line for sending output to a file ; output("dbs50x.out","close")
Subject: | XploRe Application Guide |
See XploRe: | lo rvlm lobrob gph robwhittle roblm hurst |