Thank you so much!

Do you see a chance to compute a cross-periodogram with gretl? I am now experimenting to compute it with gretl...when I get it, I want to post it for you. But maybe you have already achieved it?

Kind regards.


> Date: Fri, 5 Feb 2010 10:49:47 -0500
> From: cottrell@wfu.edu
> To: r.lucchetti@univpm.it; gretl-users@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
>
>
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