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GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic

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Author Info

  • Ludwig Kanzler

    ()

Abstract

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 (piæ/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).

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File URL: http://fmwww.bc.edu/repec/bocode/g/gph.m
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number T850805.

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Size: 267 lines
Programming language: MATLAB
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Date of creation: 29 Apr 1998
Date of revision:
Handle: RePEc:boc:bocode:t850805

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