[Gretl-users] Re: Hurst and confidence intervals
Thank you! I tried to use the $result but I am not sure how to do it... ie
when I use it and where...
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 Tue, Mar 23, 2021 at 11:19 AM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 23.03.2021 um 00:22 schrieb Periklis Gogas:
> Hello, I am going to use the Hurst exponent estimation.
> Does Gretl produce confidence intervals?
> Also, which method it employs? DFA?
Please check out the reference for the "hurst" command, where it says
that the $result accessor also provides a standard error for the
estimate. There's also some discussion of the method.
You may also find the contributed "gen_hurst" package useful (written by
Joachim Reinhardt). Spoiler: DFA is possible there I think.
cheers
sven
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