GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic
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).
|Date of creation:||29 Apr 1998|
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