Re: [Gretl-users] LW estimator and the GPH test

The Problem is that Robinson's LWE is only valid for stationary data. It depends on the approximation of the spectrum of an ARFIMA-process and only the spectrum of an stationary time series make sense. --> see Robinson's paper (1995, Semiparametric Gaussian Estimation of Long-range Dependance). So you have to force the time series to be stationary - of course integer differencing is an harsh way to achieve it, but it is necessary as long as you don't use Shimotsu's LWE. You only have to add 1 to your estimate for getting the differencing parameter. For the GPH-Estimator it is the same issue... I am always interested in discussing the properties of long-range time series ;-) cheers