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FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

Abstract

fracirf computes the infinite moving average representation (or impulse response function) of a fractionally-integrated timeseries, given a value of the fractional integration (long memory) parameter ^d^ and, optionally, values of p autoregressive and q moving average parameters corresponding to an ARFIMA(p,d,q) representation. This is version 1.0.1 of the software.

Suggested Citation

  • Christopher F Baum, 2000. "FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries," Statistical Software Components S414004, Boston College Department of Economics, revised 11 Oct 2000.
    • Handle: RePEc:boc:bocode:s414004
    Note: This module may be installed from within Stata by typing "ssc install fracirf". 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/f/fracirf.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/f/fracirf.hlp
    File Function: help file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Andréa Zaitune Curi & Naércio Aquino Menezes-Filho, 2005. "A Relação Entre O Desempenho Escolar E Os Salários No Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 158, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Michal Franta & Branislav Saxa & Katerina Smidkova, 2007. "Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?," Working Papers 2007/10, Czech National Bank.

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