[Gretl-users] Re: Hurst and confidence intervals
Am 23.03.2021 um 12:18 schrieb Periklis Gogas:
I just saw this thanks! are these treated to create confidence
intervals
as usual? ie Hurst +/-1.96* standard error?
Well, I'd cautiously say it would be good if you as the researcher had
some idea about the limiting distributions involved there. I'm not an
expert in that literature, but my guess would be that typically, yes, it
would be valid as an asymptotic approximation and almost surely not
strictly valid in finite samples.
cheers
sven