Description Usage Arguments Author(s) References Examples
ELW2S
implements the two-step ELW estimator of
Shimotsu (2010) that is consistent and asymptotically normal in the range from -1/2 to 2.
1 |
data |
data vector of length T. |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation usually |
trend_order |
specifies the form of detrending: 0 for a constant, only, 1 for a linear trend, and so on. |
taper |
string from |
Christian Leschinski
Shimotsu, K. (2010): Exact Local Whittle Estimation Of Fractional Integration with Unknown Mean and Time Trend. Econometric Theory, Vol. 26, pp. 501 - 540.
1 2 3 4 5 6 7 8 9 10 11 | library(fracdiff)
T<-1000
d<-0.8
trend<-(1:T)/T
series<-cumsum(fracdiff.sim(T,d=(d-1))$series)
ts.plot(series)
ELW2S(series, m=floor(1+T^0.7), trend_order=0)$d
series2<-series+2*trend
ELW2S(series2, m=floor(1+T^0.7), trend_order=1)$d
series3<-series+2*trend+2*trend^2
ELW2S(series3, m=floor(1+T^0.7), trend_order=2)$d
|
[1] 0.7922334
[1] 0.7894175
[1] 0.7892489
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