## An old estimator of the autocorrelation coefficient (***)

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NicolasR
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### An old estimator of the autocorrelation coefficient (***)

Hello,

This program estimates the usual (HAT) autocorrelation coefficient (already supported by Eviews) and estimates the autocorrelation using the "STAR" estimator p(tau)*. The only difference with HAT estimator, is that the STAR divides by (T-Tau), the HAT divides by T. Both have the same asympotic propertys, but in finite samples the can differ substantialy.

Code: Select all

`'ACF HAT and STAR'-------------------------------------!T=50!M=!T-1 'Maximum orden of autocorrelations, Max=T-1'-------------------------------------pagecreate u 1 !Tmode quietgenr x=nrnd genr x=x-@mean(x)stomna(x,xv)scalar R0=@var(x)table ACF_tableACF_table(1,1)="ACF HAT AND STAR"ACF_table(2,1)="Tau"ACF_table(2,2)="ACF Hat"ACF_table(2,3)="ACF STAR"for !Tau=1 to !M   genr rezago=x(-!Tau)   stomna(rezago,lag)   for !h=1 to !T      if lag(!h)=NA then         statusline ACF: !Tau !h         lag(!h)=0      endif   next   scalar ACF_gorro=((1/!T)*@transpose(xv)*lag)/R0   ACF_table(2+!Tau,1)=!Tau   ACF_table(2+!Tau,2)=ACF_gorro   scalar ACF_estrella=((1/(!T-!Tau))*@transpose(xv)*lag)/R0   ACF_table(2+!Tau,3)=ACF_estrellanextACF_table.setformat(b) f.3ACF_table.setformat(c) f.3`

References

Priestley, M. B. (1981). Spectral analysis and time series: probability and mathematical statistics (No. 04; QA280, P7.).