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GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries

Listed author(s):
  • Christopher F Baum


    (Boston College)

This procedure is a generalization of Estima's GPH.SRC procedure which performs the Geweke/Porter-Hudak log-periodogram regression on a timeseries to estimate the order of fractional integration. As recently noted by Ooms and Hassler (Econ. Letters, 56:2, 1997) this regression will inappropriately include ordinates corresponding to seasonal frequencies when the data series have been seasonally adjusted. The modified procedure 'zero-pads' the series and removes those ordinates, following recommendations of Ooms and Hassler. An option permits the disabling of these features for ready comparison with the standard GPH regression.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number R980223.

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Size: 100 lines
Programming language: RATS
Date of creation: 23 Feb 1998
Handle: RePEc:boc:bocode:r980223
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