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, observations of the time series
Output:
d scalar, degree of long memory

Example:
;estimation of the degree of long memory of the volatility by spectral regression
func("tdiff")
func("gph")
x = read("dmus58.dat")
x = abs(tdiff(x))
d = gph(x)
d

Result:
Contents of d
[1,]  0.53257



Author: G. Teyssiere, 19980424 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006