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 lo kpss rvlm lobrob roblm pgram

Quantlet: gph
Description: Estimation of the degree of long memory of a time series by using a log-periodogram regression

Reference(s):

Usage: d = gph(x)
Input:
x vector
Output:
d scalar

Example:

;estimation of the degree of long-memory of the volatility by spectral regression

library("times")

x = read("dmus58.dat")

y = abs(tdiff(x))       

d = gph(y)

d

Result:



Contents of d

[1,]  0.53257 


Library: times
See also: robwhittle lo kpss rvlm lobrob roblm 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, 980424
(C) MD*TECH Method and Data Technologies, 21.9.2000