IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/r792001.html
 

GPHROB: RATS modules to perform tests for fractional integration of timeseries

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • John T. Barkoulas

    (Louisiana Tech University)

Programming Language

RATS

Abstract

These procedures, written for RATS version 4.2/4.3, calculate the GPH (Geweke & Porter-Hudak, 1983 J. Time Series Analysis) spectral regression estimator, the Robinson Gaussian semiparametric estimator (1995 Annals of Statistics) and the Robinson average periodogram long memory estimator (1994 Annals of Statistics) for fractional order of integration of a timeseries. Procedure GPH.SRC performs the test for a single series, for a given power value, and prints the result. Procedure GPHFN.SRC performs the test on differenced data and returns its results. This is useful if you are calculating GPH tests for a range of series and power values; you may then tabulate the results in a matrix. Procedure RGSER.SRC, originally written by Rob Schoen, has been corrected from the version posted on Estima's website. It implements Robinson's Gaussian semiparametric estimator. Program RAVPER.SRC, written by John Barkoulas, implements Robinson's average periodogram long memory estimator.

Suggested Citation

  • Christopher F Baum & John T. Barkoulas, 1997. "GPHROB: RATS modules to perform tests for fractional integration of timeseries," Statistical Software Components R792001, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:r792001
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/g/GPHROB.zip
    File Function: program code
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    RATS;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:r792001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.