GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic

Statistical Software Components from Boston College Department of Economics

Abstract: GPH (SERIES, INCL, EXCL) returns (1) GPH frequency domain estimator D of (differenced) time series in vector SERIES, (2) the number of observations NOBS used in the frequency domain regression, (3) asymptotic t-ratio TASY and associated level of significance SIGASY (when the known theoretical variance of the residuals (pi¾/6) is imposed on the calculation), and (4) OLS t-ratio TOLS and corresponding significance level SIGOLS (when the standard errors are estimated from standard OLS regression output).

Language: MATLAB
Date: 1998-04-29

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http://fmwww.bc.edu/repec/bocode/g/gph.m program code (text/plain)

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