Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
The Rimini Centre for Economic Analysis - Fellow
The Society for Economic Measurement - Member
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
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.
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