The RATS Software Forum

TomDoan wrote:%CDSTAT is a scalar, so you use DISPLAY:

Code: Select all

@RSStatistic(lags=k) Rt 1 5300
disp "R/S Statistic" %cdstat

Thank you for your help.

The RSStatistic procedure doesn't produce any output since you usually do quite a few of them (varying the range or the window width) and produce some type of sensitivity table. The value of the R/S statistic is put into the %CDSTAT variable. The Willinger, Taqqu and Teverovsky replication file has...

Hi, I have a little problem for computing modified R/S Statistic. To estimate the Hurst exponent by the modified R/S Statistic (proposed by Lo), I am trying to use RSStatistic synthax. But, when I write, for exemple, “@ RSSTatistic (lags = m) returnseries start end”, I get no output unlike the synth...

Thanks for your answer.

Hi,
The procedure URADF.SRC computes a statistic called "Augmented
Dickey Fuller Z-Test". Can anybody tell me what this Z-test is all
about ? Is it equivalent to the Phillips-Perron Z statistics ?
Thank you for your answers.