procedure for long memory in EViews 8

[ecofin]

Is there procedure for multiple test for long memory, and another procedure to estimate d (fractional integration) by exact ML...etc for models ARFIMA and FIGARCH in construction for EViews 8.

[EViews Gareth]

No.

[trubador]

As for long memory analysis, you can use Hurst Exponent-Rescaled Range Analysis program code and Fractional Differencing add-in.

[ecofin]

hello, I use the programme http://forums.eviews.com/viewtopic.php?f=15&t=1111 to calculate hurst, but the two programs not execute.
my series name SP500 number of obs 400, what i will doing.

subroutine hurst(series SP500)
series ym
!n = @obs(y)
series RS_sum
series RS_av
...........etc

[trubador]

Do not change the subroutine. Just write the following somewhere in the code (preferably outside the subroutine):

Code: Select all

call hurst(SP500)

[ecofin]

Thanks for your reply.