FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries
Abstractfracirf 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S414004.
Programming language: Stata
Requires: Stata version 6.0
Date of creation: 25 Sep 2000
Date of revision: 11 Oct 2000
Note: This module may be installed from within Stata by typing "ssc install fracirf". 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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