RATS programs to replicate Gonzalo and Granger JBES 1995 paper
AbstractReplication of the interest rates example in Gonzalo and Granger(1995), "Estimation of common long memory components in cointegrated systems", JBES, vol 13, pp 27-35. Demonstrates the procedure johmle.src and the function %PERP.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00074.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
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