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procedure for long memory in EViews 8
Posted: Fri May 10, 2013 11:36 am
by 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.
Re: procedure for long memory in EViews 8
Posted: Fri May 10, 2013 11:57 am
by EViews Gareth
No.
Re: procedure for long memory in EViews 8
Posted: Fri May 10, 2013 3:22 pm
by trubador
As for long memory analysis, you can use
Hurst Exponent-Rescaled Range Analysis program code and
Fractional Differencing add-in.
Re: procedure for long memory in EViews 8
Posted: Sun May 26, 2013 3:17 am
by 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
Re: procedure for long memory in EViews 8
Posted: Wed May 29, 2013 1:08 am
by trubador
Do not change the subroutine. Just write the following somewhere in the code (preferably outside the subroutine):
Re: procedure for long memory in EViews 8
Posted: Thu May 30, 2013 12:56 pm
by ecofin
Thanks for your reply.