Hou.Perron: Modified local Whittle estimator of fractional difference...

Description Usage Arguments Details References Examples

View source: R/Hou_Perron.R

Description

Hou.Perron Modified semiparametric local Whittle estimator of Hou and Perron (2014). Estimates memory parameter robust to low frequency contaminations.

Usage

1

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.

Details

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References

Hou, J., Perron, P. (2014): Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Journal of Econometrics, Vol. 182, No. 2, pp. 309 - 328.

Examples

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library(fracdiff)
T<-1000
d<-0
mean<-c(rep(0,T/2),rep(2,T/2))
FI<-fracdiff.sim(n=T, d=d)$series
series<-mean+FI
ts.plot(series)
lines(mean, col=2)
local.W(series, m=floor(1+T^0.65))
Hou.Perron(series, m=floor(1+T^0.65))

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