[Gretl-users] Re: Hurst and confidence intervals
Great thanks I will check that too!
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 11:25 AM Riccardo (Jack) Lucchetti <
p002264(a)staff.univpm.it> wrote:
On Mon, 22 Mar 2021, Periklis Gogas wrote:
> Hello, I am going to use the Hurst exponent estimation.
> Does Gretl produce confidence intervals?
> Also, which method it employs? DFA?
If you're into long memory, you may also want to check out the "fractint"
command.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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