Library: | times |
See also: | rvlm kpss robwhittle roblm lobrob gph sclmtest neweywest |
Macro: | 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.
|
Usage: | q = lo(y{,m}) | |
Input: | ||
y | vector | |
m | vector | |
Output: | ||
q | vector |
;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
Contents of q [1,] " Order Statistic" [2,] "__________________ " [3,] "" [4,] " 5 2.0012 *" [5,] " 10 1.8741 *" [6,] " 25 1.7490 " [7,] " 50 1.6839 "
;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
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 |