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: robwhittle lobrob gph lo kpss rvlm sclmtest pgram

Quantlet: roblm
Description: Semiparametric average periodogram estimator of the degree of long memory of a time series. The first argument of the macro is the series, the second optional argument is a strictly positive constant q, which is also strictly less than one. The third optional argument is the bandwidth vector m. By default q is set to 0.5 and the bandwidth vector is equal to m = n/4, n/8, n/16. If q and m contain several elements, the estimator is evaluated for all the combinations of q and m. The quantlet returns in the first column the estimated degree of long-memory, in the second column the number of frequencies considered, in the third column the value of q.

Reference(s):

Usage: d = roblm(x{,q{,bdvec}})
Input:
x vector
q vector
bdvec vector
Output:
d vector

Example:

;nonparametric estimation of degree of long-memory in volatility

library("times")

x = read("dmus58.dat")

x=x[1:2000]

y = abs(tdiff(x)) 

d = roblm(y)

d

Result:



Contents of d

[1,] "     d     Bandwidth      q   " 

[2,] "_______________________________" 

[3,] "" 

[4,] "  0.0927      500        0.5" 

[5,] "  0.1019      250        0.5" 

[6,] "  0.1199      125        0.5" 

Example:



library("times")

x = read("dmus58.dat")

x = x[1:2000]

y = abs(tdiff(x[,1])) 

q = #(0.5,0.7)

d = roblm(y,q)

d

Result:



Contents of d

[1,] "     d     Bandwidth     q   " 

[2,] "______________________________" 

[3,] "" 

[4,] "  0.0927      500       0.5" 

[5,] "  0.0750      500       0.7" 

[6,] "  0.1019      250       0.5" 

[7,] "  0.0810      250       0.7" 

[8,] "  0.1199      125       0.5" 

[9,] "  0.1230      125       0.7" 

Example:



library("times")

x = read("dmus58.dat")

x = x[1:2000]

y = abs(tdiff(x[,1])) 

q = #(0.5,0.7)

m = #(250,500,750)

d = roblm(y,q,m)

d

Result:



Contents of d

[1,] "     d     Bandwidth     q   " 

[2,] "______________________________" 

[3,] "" 

[4,] "  0.1019      250       0.5" 

[5,] "  0.0810      250       0.7" 

[6,] "  0.0927      500       0.5" 

[7,] "  0.0750      500       0.7" 

[8,] "  0.0700      750       0.5" 

[9,] "  0.0876      750       0.7" 

Example:



library("times")

x = read("dmus58.dat")

x = x[1:2000]

y = abs(tdiff(x[,1])) 

m = #(500,250,125)

d = roblm(y,m)

d

Result:



Contents of d

[1,] "     d     Bandwidth     q   " 

[2,] "_______________________________" 

[3,] "" 

[4,] "  0.0927      500       0.5" 

[5,] "  0.1019      250       0.5" 

[6,] "  0.1199      125       0.5" 


Library: times
See also: robwhittle lobrob gph lo kpss rvlm sclmtest pgram

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, 981106
(C) MD*TECH Method and Data Technologies, 21.9.2000