Long Memory Procedures

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chatteramit
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Joined: Sat Oct 04, 2008 5:54 pm
Location: Houston, TX

Long Memory Procedures

Postby chatteramit » Sun Oct 05, 2008 1:19 pm

Is there any plan to include procedures related to the body of Long Memory literatures in the upcoming version? Specifically, I am interested in testing the existence of long-memory procedures such as Modified R/S and GPH statistics; long memory GARCH and ARIMA procedures such as FIGARCH and ARFIMA.
Is there any plan to include variance-ratio procedures such as Lo-Mackinlay and Chow-Denning in the upcoming version?
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EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Long Memory Procedures

Postby EViews Gareth » Mon Oct 06, 2008 9:41 am

ARFIMA and FIGARCH are pretty high on our list of things to add, but I'm not sure if they'll make it into the next version.

We have done some work on Variance-Ratio procedures, but I'm not sure which ones in particular.
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