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RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)


  • Tom Doan

    () (Estima)

Programming Language



Computes 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.

Suggested Citation

  • Tom Doan, "undated". "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00191
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    Dependence tests; R/S statistic; RATS;
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