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:
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
Or I always need to go to packages and double click this?
On Sat, Mar 27, 2021 at 4:01 PM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 27.03.2021 um 13:51 schrieb Periklis Gogas:
> What is the actual algorithm that Gretl uses to estimate the Hurst
> 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
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
detailed verbal description of what it does.
Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it