[Gretl-users] long memory parameter

[Allin Cottrell]

On Mon, 11 Dec 2006, javier garcia enriquez wrote:

>  When Gretl gives us the periodogram, also appears the long 
> memory parameter estimation using GPH and Whittle estimators. In 
> Whittle Gretl tells us the size of "m" and we can obtain easily 
> the "a" (since m = T^a), but with GPH doesn´t. ¿What "a" does 
> the program use in GPH? ¿Is it possible change the value of "a" 
> using our own criterion?

I've made a few quick fixes here.

* Improved the documentation for the pergm command.
* Added an optional second parameter (with a corresponding GUI
   dialog box) to set the bandwidth.
* Adjusted the default bandwidth for the GPH test.

Up till now, the GPH test used T^0.5, while the Whittle test
used the lesser of T/2 and T^0.6.  I've changed it so that the two 
tests have the same default, namely the second one mentioned.

pergm y     # gets the default order, T^0.6
pergm y 16  # sets a bandwidth of 16

This change is in CVS, and there's a new Windows snapshot at

http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe

-- 
Allin Cottrell
Department of Economics
Wake Forest University, NC