ROBLPR: Stata module to estimate long memory in a set of timeseries
Abstractroblpr computes the Robinson (1995) multivariate semiparametric estimate of the long memory (fractional integration) parameters, d(g), of a set of timeseries, y(g), g=1,G. G may be one. If more than one series is specified, a test for equality of the fractional integration parameters is performed. Linear constraints on the parameters may also be imposed. This is version 1.2.5 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 S411001.
Programming language: Stata
Requires: Stata version 8.2
Date of creation: 24 Apr 2000
Date of revision: 25 Jun 2006
Note: This module may be installed from within Stata by typing "ssc install roblpr". 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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