[Gretl-users] Re: Hurst and confidence intervals
Yes, exactly. And by sample size here we do not mean the initial sample
lets say the 2000 observations I have, but the log_2(2000) I guess, the
number of bins created.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Professor
Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
On Thu, Mar 25, 2021 at 10:04 AM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 23.03.2021 um 12:18 schrieb Periklis Gogas:
> I just saw this thanks! are these treated to create confidence intervals
> as usual? ie Hurst +/-1.96* standard error?
>
Well, I'd cautiously say it would be good if you as the researcher had
some idea about the limiting distributions involved there. I'm not an
expert in that literature, but my guess would be that typically, yes, it
would be valid as an asymptotic approximation and almost surely not
strictly valid in finite samples.
cheers
sven
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