Advanced Search
MyIDEAS: Login to save this software component or follow this series

MODLPR: Stata module to estimate long memory in a timeseries

Contents:

Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Vince Wiggins

    ()
    (Stata Corporation)

Abstract

modlpr computes a modified form of the Geweke/Porter-Hudak (GPH, 1983) estimate of the long memory (fractional integration) parameter, d, of a timeseries, proposed by Phillips (1999a, 1999b). Distinguishing unit-root behavior from fractional integration may be problematic, given that the GPH estimator is inconsistent against d>1 alternatives. This weakness of the GPH estimator is solved by Phillips' Modified Log Periodogram Regression estimator, in which the dependent variable is modified to reflect the distribution of d under the null hypothesis that d=1. Removal of a linear trend is now the default behavior. This is version 1.1.7 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

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://fmwww.bc.edu/repec/bocode/m/modlpr.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/m/modlpr.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 S411002.

as in new window
Size:
Programming language: Stata
Requires: Stata version 8.2
Date of creation: 24 Apr 2000
Date of revision: 12 Feb 2006
Handle: RePEc:boc:bocode:s411002

Note: This module may be installed from within Stata by typing "ssc install modlpr". 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;

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s411002. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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