IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s411001.html
 

ROBLPR: Stata module to estimate long memory in a set of timeseries

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

roblpr 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.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 2000. "ROBLPR: Stata module to estimate long memory in a set of timeseries," Statistical Software Components S411001, Boston College Department of Economics, revised 25 Jun 2006.
    • Handle: RePEc:boc:bocode:s411001
    Note: This module may be installed from within Stata by typing "ssc install roblpr". 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/r/roblpr.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/roblpr.hlp
    File Function: help file
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s411001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.