| 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 |
| Usage: | d = gph(x) | |
| Input: | ||
| x | vector | |
| Output: | ||
| d | scalar | |
;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
Contents of d [1,] 0.53257
| Library: | times |
| See also: | robwhittle lo kpss rvlm lobrob roblm pgram |