[Gretl-users] Re: Hurst and confidence intervals

Yes, exactly. And by sample size here we do not mean the initial sample lets say the 2000 observations I have, but the log_2(2000) I guess, the number of bins created. PG *Periklis Gogas <http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>* Professor Economic Analysis and International Economics Department of Economics Democritus University of Thrace Euro Area Business Cycle Network - Fellow <http://www.eabcn.org/person/periklis-gogas> The Rimini Centre for Economic Analysis - Fellow <http://www.rcfea.org/component/option,com_frontpage/Itemid,1/> The Society for Economic Measurement - Member <http://sem.society.cmu.edu/home.html> Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow <http://icemr.ru/institute-for-nonlinear-dynamical-inference/> On Thu, Mar 25, 2021 at 10:04 AM Sven Schreiber <svetosch(a)gmx.net&gt; wrote: > 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 > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: > https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ >