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


> Date: Tue, 10 Aug 2010 15:19:11 +0300
> From: talhayalta@gmail.com
> To: gretl-users@lists.wfu.edu
> Subject: Re: [Gretl-users] LW estimator and the GPH test
>
> > don't forget to difference the time series because the tests in gretl are
> > only valid for stationary data.
> Does it really make sense to first difference the data to test for
> fractional integration?
> T
>
>
> --
> “Remember not only to say the right thing in the right place, but far
> more difficult still, to leave unsaid the wrong thing at the tempting
> moment.” - Benjamin Franklin (1706-1790)
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