GRETL package for testing fractional integration with trends and breaks
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Dear GRETL Experts,
Is there a GRETL package for testing fractional integration with trends
and breaks in data, preferably in a panel setting?
Thank you in advance.
Taylan Zafer Bali
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On Thu, 1 Jul 2021, taylan.bali(a)ankara.edu.tr wrote:
Dear GRETL Experts,
Is there a GRETL package for testing fractional integration with trends
and breaks in data, preferably in a panel setting?
Not as yet. Do you have any specific method in mind? Can you give us some
bibliographical pointers?
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
Hi,
I am not aware of any functionality of user-contributed package covering
what you ask fo.
However, there is the fracint command you may have a look at as a
starting point:
http://gretl.sourceforge.net/gretl-help/cmdref.html#fractint
Good luck,
Artur
Am 01.07.21 um 18:50 schrieb taylan.bali(a)ankara.edu.tr:
> Dear GRETL Experts,
>
> Is there a GRETL package for testing fractional integration with trends
> and breaks in data, preferably in a panel setting?
>
> Thank you in advance.
>
> Taylan Zafer Bali
>
>
> _______________________________________________
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>
Am 02.07.2021 um 14:29 schrieb Artur T.:
Hi,
I am not aware of any functionality of user-contributed package
covering what you ask fo.
Perhaps the "gen_hurst" contributed package by Joachim Reinhardt might
be relevant. According to its description it offers detrended
fluctuation analysis (DFA) as an option to estimate the long-range
dependence parameter. Don't know if that's what Taylan had in mind.
(Apart from the simple alternative to pre-adjust any time series for
trend components and shifts, with the obvious complications for
subsequent inference.)
cheers
sven
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Artur T. -
Riccardo (Jack) Lucchetti -
Sven Schreiber -
taylan.bali＠ankara.edu.tr