Re: [Gretl-users] Periodogram Values - Comparison with Statistica 9.0
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.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti