TomDoan wrote: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 an example using it.
@RSStatistic(lags=k) Rt 1 5300
disp "R/S Statistic" %cdstat
TomDoan wrote:%CDSTAT is a scalar, so you use DISPLAY:
- Code: Select all
@RSStatistic(lags=k) Rt 1 5300
disp "R/S Statistic" %cdstat
ritesh wrote:Hi
i am using the source code HURST for estimating hurst exponent. i want to calculate V-statistics. please advise if it is possible using the same source file.
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