English, Article edition: GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic Ludwig Kanzler

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Bookmark: http://trove.nla.gov.au/version/102213
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  • code
Language
  • English

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Title
  • GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic
Author
  • Ludwig Kanzler
Physical Description
  • code
Notes
  • GPH (SERIES, INCL, EXCL) returns (1) GPH frequency domain estimator D of (differenced) time series in vector SERIES, (2) the number of observations NOBS used in the frequency domain regression, (3) asymptotic t-ratio TASY and associated level of significance SIGASY (when the known theoretical variance of the residuals (pi¾/​6) is imposed on the calculation), and (4) OLS t-ratio TOLS and corresponding significance level SIGOLS (when the standard errors are estimated from standard OLS regression output).
  • RePEc:boc:bocode:t850805
Language
  • English
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