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AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Estimates the fractional difference power for a series using the bias-reduced technique from Andrews and Guggenberger(2003), "A Biased-Reduced Log-periodogram Regression Estimator for the Long-Memory Parameter", Econometrica, vol 71, no. 2, 675-712.

Suggested Citation

  • Tom Doan, "undated". "AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference," Statistical Software Components RTS00005, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00005
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    More about this item

    Keywords

    Spectral analysis; long memory; fractional difference; RATS;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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