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, observations of the time series | |
Output: | ||
d | scalar, degree of long memory |
;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
Contents of d [1,] 0.53257