RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes either the classical R/S statistic, or Lo's modified version, where the scale is the square root of the long-run variance. Mandelbrot and Wallis(1969),"Computer Experiments with Fractional Gaussian Noise", Water Resources Res., vol 5, 228-267. Lo(1991),"Long-term Memory in Stock Market Prices", Econometrica, vol 59, 1279-1313.

Language: RATS
Requires: RATS 5.10
Keywords: Dependence tests; R/S statistic (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/rsstatistic.src (text/plain)

Related works:
Journal Article: Long-Term Memory in Stock Market Prices (1991)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00191

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