Re: [Gretl-users] Periodogram Values - Comparison with Statistica 9.0

Date: Fri, 5 Feb 2010 10:49:47 -0500 From: cottrell(a)wfu.edu To: r.lucchetti(a)univpm.it; gretl-users(a)lists.wfu.edu Subject: Re: [Gretl-users] Periodogram Values - Comparison with Statistica 9.0 On Fri, 5 Feb 2010, Riccardo (Jack) Lucchetti wrote: > On Fri, 5 Feb 2010, savos schmagges wrote: > > > Hello > > > > i have a question concerning the periodogram values calculated by gretl. > > I have checked the values with Statistica, but they are differing by the factor 12. > > What is the reason for that? How can the values be reconciled? > > I suspect it's a different normalisation convention. Try this: > > <script> > nulldata 100 > setobs 1 1 --special > x = fracdiff(normal(), -0.3) > a = pergm(x) > F = fft({x}) > F = a ~ sumr(F[2:51].^2)/50 > print F > </script> > > and see if the values in the third column of F agree with those from > Statistica. You may want to take a look at section 5.10 of the Gretl > User's Guide. One other note: William Greene has a periodogram example in the chapter on Times Series Models in his Econometric Analysis (ch. 20 in the 5th edition). Gretl replicates that example (i.e. the spectrum values are on the same scale), so one can look at his text for a bit more detail on the conventions used. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users