ELW2S: Two-Step Exact local Whittle estimator of fractional...

Description Usage Arguments Details References Examples

View source: R/ELW_est.R

Description

ELW2S implements the two-step ELW estimator of Shimotsu (2010) that is consistent and asymptotically normal in the range from -1/2 to 2.

Usage

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ELW2S(data, m, trend_order = 0, taper = c("HC", "Velasco"))

Arguments

data

data vector of length T.

m

bandwith parameter specifying the number of Fourier frequencies. used for the estimation usually floor(1+T^delta), where 0<delta<1.

trend_order

specifies the form of detrending: 0 for a constant, only, 1 for a linear trend, and so on. See details.

Details

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References

Shimotsu, K. (2010): Exact Local Whittle Estimation Of Fractional Integration with Unknown Mean and Time Trend. Econometric Theory, Vol. 26, pp. 501 - 540.

Examples

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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

FunWithR/LongMemoryTS documentation built on June 9, 2018, 12:22 a.m.