Am 08.02.2018 um 15:26 schrieb Periklis Gogas:

Thank you Sven! I thought maybe there is something included already since there is also a Hurst exponent estimation.

I understand what you mean. There are some features like Hurst in gretl (some in contributed function packages) that deal with long memory and fractional integration. This is stuff which is relatively popular in financial econometrics. In contrast, I'd say that Chaos-related stuff isn't used much in econometrics, although there are certainly overlapping things.

This would be something which would be relatively easy to put into a contributed function package I think. Everybody who knows a little bit about these methods is welcome to write such a package.

cheers,
sven
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