Hou.Perron {LongMemoryTS} | R Documentation |
Hou.Perron
Modified semiparametric local Whittle estimator of Hou and Perron (2014).
Estimates memory parameter robust to low frequency contaminations.
Hou.Perron(data, m)
data |
data vector of length T. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation usually |
add details here
Christian Hendrik Leschinski
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.
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))