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GPHUDAK: Stata module to estimate long memory in a timeseries

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Vince Wiggins

    ()
    (Stata Corporation)

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 1.1.2 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.

Download Info

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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.hlp
File Function: help file
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S388101.

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Programming language: Stata
Requires: Stata version 8.2
Date of creation: 25 Aug 1999
Date of revision: 25 Jun 2006
Handle: RePEc:boc:bocode:s388101

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
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: time-series data; fractional integration; long memory;

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