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ROBLPR: Stata module to estimate long memory in a set of timeseries


  • Christopher F Baum

    () (Boston College)

  • Vince Wiggins

    () (Stata Corporation)


roblpr computes the Robinson (1995) multivariate semiparametric estimate of the long memory (fractional integration) parameters, d(g), of a set of timeseries, y(g), g=1,G. G may be one. If more than one series is specified, a test for equality of the fractional integration parameters is performed. Linear constraints on the parameters may also be imposed. This is version 1.2.5 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.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 2000. "ROBLPR: Stata module to estimate long memory in a set of timeseries," Statistical Software Components S411001, Boston College Department of Economics, revised 25 Jun 2006.
  • Handle: RePEc:boc:bocode:s411001 Note: This module may be installed from within Stata by typing "ssc install roblpr". Windows users should not attempt to download these files with a web browser.

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