RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)
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.
|Date of creation:|
|Date of revision:|
|Note:||RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rts00191. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.