RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)
AbstractComputes either the classical R/S statistic, or Lo's modified version, where the scale is the square root of the long-run variance. Mandelbrot and Wallis(1969),"Computer Experiments with Fractional Gaussian Noise", Water Resources Res., vol 5, 228-267. Lo(1991),"Long-term Memory in Stock Market Prices", Econometrica, vol 59, 1279-1313.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00191.
Programming language: RATS
Requires: RATS 5.10
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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