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GPHUDAK: Stata module to estimate long memory in a timeseries

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

gphudak 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 1.2.0 of the software, updated from that published in STB-57, and compatible with Stata version 12 syntax. It may be applied to a single timeseries in a panel with the if qualifier or to all timeseries with the by prefix.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 1999. "GPHUDAK: Stata module to estimate long memory in a timeseries," Statistical Software Components S388101, Boston College Department of Economics, revised 12 Mar 2023.
    • Handle: RePEc:boc:bocode:s388101
    Note: This module may be installed from within Stata by typing "ssc inst gphudak". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/g/gphudak.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/g/gphudak.sthlp
    File Function: help file
    Download Restriction: no
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