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GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

RATS

Abstract

This procedure is a generalization of Estima's GPH.SRC procedure which performs the Geweke/Porter-Hudak log-periodogram regression on a timeseries to estimate the order of fractional integration. As recently noted by Ooms and Hassler (Econ. Letters, 56:2, 1997) this regression will inappropriately include ordinates corresponding to seasonal frequencies when the data series have been seasonally adjusted. The modified procedure 'zero-pads' the series and removes those ordinates, following recommendations of Ooms and Hassler. An option permits the disabling of these features for ready comparison with the standard GPH regression.

Suggested Citation

  • Christopher F Baum, 1998. "GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries," Statistical Software Components R980223, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:r980223
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/g/gph_seas.src
    File Function: program code
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    Keywords

    RATS;

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