IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this software component

GPHROB: RATS modules to perform tests for fractional integration of timeseries

Listed author(s):
  • Christopher F Baum


    (Boston College)

  • John T. Barkoulas


    (Louisiana Tech University)

These procedures, written for RATS version 4.2/4.3, calculate the GPH (Geweke & Porter-Hudak, 1983 J. Time Series Analysis) spectral regression estimator, the Robinson Gaussian semiparametric estimator (1995 Annals of Statistics) and the Robinson average periodogram long memory estimator (1994 Annals of Statistics) for fractional order of integration of a timeseries. Procedure GPH.SRC performs the test for a single series, for a given power value, and prints the result. Procedure GPHFN.SRC performs the test on differenced data and returns its results. This is useful if you are calculating GPH tests for a range of series and power values; you may then tabulate the results in a matrix. Procedure RGSER.SRC, originally written by Rob Schoen, has been corrected from the version posted on Estima's website. It implements Robinson's Gaussian semiparametric estimator. Program RAVPER.SRC, written by John Barkoulas, implements Robinson's average periodogram long memory estimator.

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:
File Function: program code
Download Restriction: no

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number R792001.

in new window

Size: 6 Kb
Programming language: RATS
Date of creation: 20 Sep 1997
Handle: RePEc:boc:bocode:r792001
Contact details of provider: Postal:
Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
Fax: +1-617-552-2308
Web page:

More information through EDIRC

Order Information: Web:

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

When requesting a correction, please mention this item's handle: RePEc:boc:bocode:r792001. 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.