[Gretl-users] long memory parameter

[Allin Cottrell]

On Tue, 12 Dec 2006, Riccardo (Jack) Lucchetti wrote:

> On Mon, December 11, 2006 23:48, Javier García wrote:
>> Yes, in my opinion it would be more useful if the optional parameter was the
>> exponent. Nevertheless, thanks for the fixes. They´ve helped me a lot.
>
> Well, I'm open to be convinced of the contrary, but I'd rather 
> keep m: remember that all asymptotic results mandate that m 
> should be *proportional* to a certain power of T, not *equal*. 
> As a consequence, in practical situations one often wants to 
> experiment what happens with m = T^a \pm k, (with k "small"). 
> Obviously, it's very easy to compute m as a function of T and 
> play with it; on the other hand, in order to have m vary as 
> wanted, one would have to fiddle with exponents in a much less 
> straightforward way.

I think Jack makes a good point here.  Remember gretl has a link 
to a calculator on the toolbar!  So if you have an exponent in 
mind it's easy to convert this to an 'm' value.

Allin