What is the actual algorithm that Gretl uses to estimate the Hurst exponent? Is it the Anis-Lloyd corrected R/S or the DFA?
PG *Periklis Gogas <http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>* Professor Economic Analysis and International Economics Department of Economics Democritus University of Thrace Euro Area Business Cycle Network - Fellow <http://www.eabcn.org/person/periklis-gogas> The Rimini Centre for Economic Analysis - Fellow <http://www.rcfea.org/component/option,com_frontpage/Itemid,1/> The Society for Economic Measurement - Member <http://sem.society.cmu.edu/home.html> Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow <http://icemr.ru/institute-for-nonlinear-dynamical-inference/> On Thu, Mar 25, 2021 at 11:03 AM Periklis Gogas <perrygo...@gmail.com> wrote: > Yes, exactly. And by sample size here we do not mean the initial sample > lets say the 2000 observations I have, but the log_2(2000) I guess, the > number of bins created. > > PG > > *Periklis Gogas > <http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>* > Professor > Economic Analysis and International Economics > Department of Economics > Democritus University of Thrace > Euro Area Business Cycle Network - Fellow > <http://www.eabcn.org/person/periklis-gogas> > The Rimini Centre for Economic Analysis - Fellow > <http://www.rcfea.org/component/option,com_frontpage/Itemid,1/> > The Society for Economic Measurement - Member > <http://sem.society.cmu.edu/home.html> > Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow > <http://icemr.ru/institute-for-nonlinear-dynamical-inference/> > > > On Thu, Mar 25, 2021 at 10:04 AM Sven Schreiber <sveto...@gmx.net> wrote: > >> Am 23.03.2021 um 12:18 schrieb Periklis Gogas: >> > I just saw this thanks! are these treated to create confidence intervals >> > as usual? ie Hurst +/-1.96* standard error? >> > >> >> Well, I'd cautiously say it would be good if you as the researcher had >> some idea about the limiting distributions involved there. I'm not an >> expert in that literature, but my guess would be that typically, yes, it >> would be valid as an asymptotic approximation and almost surely not >> strictly valid in finite samples. >> >> cheers >> sven >> _______________________________________________ >> Gretl-users mailing list -- gretl-users@gretlml.univpm.it >> To unsubscribe send an email to gretl-users-le...@gretlml.univpm.it >> Website: >> https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ >> >
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