GPHUDAK: Stata module to estimate long memory in a timeseries
gphudak computes the Geweke/Porter-Hudak (GPH, 1983) estimate of the long memory (fractional integration) parameter, d, of a timeseries. The GPH method uses nonparametric methods--a spectral regression estimator-- to evaluate d without explicit specification of the 'short memory' (ARMA) parameters of the series. The series is usually differenced so that the resulting d estimate will fall in the [-0.5, 0.5] interval. This is version 1.1.2 of the software, updated from that published in STB-57, and compatible with Stata version 8 syntax. It may be applied to a single timeseries in a panel with the if qualifier or to all timeseries with the by prefix.
|Requires:||Stata version 8.2|
|Date of creation:||25 Aug 1999|
|Date of revision:||25 Jun 2006|
|Note:||This module may be installed from within Stata by typing "ssc inst gphudak". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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