GPHUDAK: Stata module to estimate long memory in a timeseries
Abstractgphudak computes the Geweke/Porter-Hudak (GPH, 1983) estimate of the long memory (fractional integration) parameter, d, of a timeseries. The GPH method uses nonparametric methods--a spectral regression estimator-- to evaluate d without explicit specification of the 'short memory' (ARMA) parameters of the series. The series is usually differenced so that the resulting d estimate will fall in the [-0.5, 0.5] interval. This is version 1.1.2 of the software, updated from that published in STB-57, and compatible with Stata version 8 syntax. It may be applied to a single timeseries in a panel with the if qualifier or to all timeseries with the by prefix.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S388101.
Programming language: Stata
Requires: Stata version 8.2
Date of creation: 25 Aug 1999
Date of revision: 25 Jun 2006
Note: This module may be installed from within Stata by typing "ssc inst gphudak". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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