7:26 a.m.
Hello all,
Is it possible to calculate the maximum Lyapunov exponent with Gretl and
the relevant p-values?
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
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/>
9:02 a.m.
Am 08.02.2018 um 13:26 schrieb Periklis Gogas:
Hello all,
Is it possible to calculate the maximum Lyapunov exponent with Gretl and
the relevant p-values?
Hi, not that I'm aware of.
I found a C-program here:
https://www.pks.mpg.de/~tisean/TISEAN_2.1/source_c/lyap_k.c
(Note: "If you want to include any of the programs in a commercial or
noncommercial distribution, you must first obtain the written consent of
the copyright owner." -
https://www.pks.mpg.de/~tisean/TISEAN_2.1/index.html; but using it as a
basis of a port would be something different, it's like reading a
scientific paper.)
(BTW, I'm not related to that T.Schreiber who's a coauthor of the Tisean
software.)
cheers,
sven
9:26 a.m.
Thank you Sven! I thought maybe there is something included already since
there is also a Hurst exponent estimation.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
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, Feb 8, 2018 at 4:02 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 08.02.2018 um 13:26 schrieb Periklis Gogas:
> Hello all,
>
> Is it possible to calculate the maximum Lyapunov exponent with Gretl and
> the relevant p-values?
>
Hi, not that I'm aware of.
I found a C-program here:
https://www.pks.mpg.de/~tisean/TISEAN_2.1/source_c/lyap_k.c
(Note: "If you want to include any of the programs in a commercial or
noncommercial distribution, you must first obtain the written consent of
the copyright owner." - https://www.pks.mpg.de/~tisean
/TISEAN_2.1/index.html; but using it as a basis of a port would be
something different, it's like reading a scientific paper.)
(BTW, I'm not related to that T.Schreiber who's a coauthor of the Tisean
software.)
cheers,
sven
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Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
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2:07 p.m.
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
5:01 p.m.
Sven thank you very much.
I do not know what these *contributed function packages* are and how I can
use them.
I will have to start learning new things in Gretl now that I am using it a
lot in my courses.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
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, Feb 8, 2018 at 9:07 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
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
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
5:18 p.m.
Yes, I started downloading some of your packages.
Thank you!
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
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 Fri, Feb 9, 2018 at 12:15 AM, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 08.02.2018 um 23:01 schrieb Periklis Gogas:
> Sven thank you very much.
>
> I do not know what these *contributed function packages* are and how I
> can use them.
>
For a start, see menu Help / Packages.
cheers,
sven
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