Sorry I am not an expert on Gretl.
From the info you provided I now found in the info included with the package how to select the R/S that is a default or the DFA algorithm.
So, I can get the Hurst from the menu item Variable > Hurst exponent.
Also, fro console by typing:
> include gen_hurst.gfn
> h_rs = gen_hurst(djclose, 0)
Also, I noticed that when I go to packages here:
and double click on the package I get a menu like this:
Is anywhere in the normal Gretl menu like the Variable > Hurst exponent item?
Or I always need to go to packages and double click this?
Am 27.03.2021 um 13:51 schrieb Periklis Gogas:
> What is the actual algorithm that Gretl uses to estimate the Hurst exponent?
> Is it the Anis-Lloyd corrected R/S or the DFA?
I believe DFA is only (optionally) available in the gen_hurst
contributed package. R/S is available both in the native command and in
So the hurst exponent I select from the Variable menu is different than that gen_hurst?
If so, how do I run the gen_hurst one? I tried this and did not work:
I don't know what Anis-Lloyd is, so it could or could
not be implemented. But the native "hurst" command has a relatively
detailed verbal description of what it does.
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