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

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

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
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/rsstatistic.src
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    Cited by:

    1. Mozaffari, Samaneh & Nateghi, Mohammad Reza & Zarandi, Mahmood Borhani, 2017. "An overview of the Challenges in the commercialization of dye sensitized solar cells," Renewable and Sustainable Energy Reviews, Elsevier, vol. 71(C), pages 675-686.

    More about this item

    Keywords

    Dependence tests; R/S statistic;

    JEL classification:

    Statistics

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