XploRe Help : roblm

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 lobrob gph lo kpss rvlm pgram

Quantlet:		roblm
Description:		Semiparametric average periodogram estimator of the degree of long memory of a time series. The first argument of the quantlet is the series, the second optional argument is a strictly positive constant q, which is also strictly less than one. The third optional argument is the bandwidth vector m. By default q is set to 0.5 and the bandwidth vector is equal to m = n/4, n/8, n/16. If q and m contain several elements, the estimator is evaluated for all the combinations of q and m. The quantlet returns in the first column the estimated degree of long-memory, in the second column the number of frequencies considered, in the third column the value of q.

Reference(s):

Robinson, P.M. (1994): Semiparametric Analysis of Long-Memory Time Series, The Annals of Statistics, 22, 515-539.

Usage:	`d = roblm(x{,q{,bdvec}})`
Input:
	`x`	vector
	`q`	vector
	`bdvec`	vector
Output:
	`d`	vector

Example:

;nonparametric estimation of degree of long-memory in volatility library("times") x = read("dmus58.dat") x=x[1:2000] y = abs(tdiff(x)) d = roblm(y) d

Result:

Contents of d

[1,] "     d     Bandwidth      q   "
[2,] "_______________________________"
[3,] ""
[4,] "  0.0927      500        0.5"
[5,] "  0.1019      250        0.5"
[6,] "  0.1199      125        0.5"

Example:

library("times") x = read("dmus58.dat") x = x[1:2000] y = abs(tdiff(x[,1])) q = #(0.5,0.7) d = roblm(y,q) d

Result:

Contents of d

[1,] "     d     Bandwidth     q   "
[2,] "______________________________"
[3,] ""
[4,] "  0.0927      500       0.5"
[5,] "  0.0750      500       0.7"
[6,] "  0.1019      250       0.5"
[7,] "  0.0810      250       0.7"
[8,] "  0.1199      125       0.5"
[9,] "  0.1230      125       0.7"

Example:

library("times") x = read("dmus58.dat") x = x[1:2000] y = abs(tdiff(x[,1])) q = #(0.5,0.7) m = #(250,500,750) d = roblm(y,q,m) d

Result:

Contents of d
[1,] "     d     Bandwidth     q   "
[2,] "______________________________"
[3,] ""
[4,] "  0.1019      250       0.5"
[5,] "  0.0810      250       0.7"
[6,] "  0.0927      500       0.5"
[7,] "  0.0750      500       0.7"
[8,] "  0.0700      750       0.5"
[9,] "  0.0876      750       0.7"

Example:

library("times") x = read("dmus58.dat") x = x[1:2000] y = abs(tdiff(x[,1])) m = #(500,250,125) d = roblm(y,m) d

Result:

Contents of d
[1,] "     d     Bandwidth     q   "
[2,] "_______________________________"
[3,] ""
[4,] "  0.0927      500       0.5"
[5,] "  0.1019      250       0.5"
[6,] "  0.1199      125       0.5"

Author: G. Teyssiere, 19981106 license MD*Tech