long memory
by javier garcia enriquez
Hi;
In my present investigation we are interested in see the posibility of fractional integration in some time series. When Gretl do the peridogram, it also show the GPH and the Whittle estimation and, in brackets, appears a value we don´t know what means, because below just appears a test for fractional integration, when the null hypothesis is that the integration order is zero. Then... ¿what is that value? (In the following example we have accentuate in yellow)
Contraste de integración fraccional (Geweke, Porter-Hudak)
Orden de integración estimado = 0,605383 (0,146662)
Estadístico de contraste: t(9) = 4,12773, con valor p 0,0026
Estimador local de Whittle (T = 101, m = 14)
Orden de integración estimado = 0,591367 (0,133631)
Estadístico de contraste: z = 4,42538, con valor p 0,0000
Thanks
Javi
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