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

Author

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  • 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 (piÊ/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).

Suggested Citation

  • Ludwig Kanzler, 1998. "GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic," Statistical Software Components T850805, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:t850805
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