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LOMODRS: Stata module to perform Lo R/S test for long range dependence in timeseries

Author

Listed:
  • Christopher F Baum

    () (Boston College)

  • Tairi Room

Abstract

lomodrs performs Lo's (1991) modified rescaled range (R/S, "range over standard deviation") test for long range dependence of a time series. The classical R/S test, devised by Hurst (1951) and Mandelbrot (1972), is shown to be excessively sensitive to "short-range dependence" (e.g. ARMA components). Lo's modified version of the statistic takes account of short-range dependence by performing a Newey-West correction (using a Bartlett window) to derive a consistent estimate of the long-range variance of the timeseries. Inference from the modified R/S test for long range dependence is complementary to that derived from that of other tests for long memory, or fractional integration in a timeseries, such as kpss, gphudak, modlpr and roblpr. This is version 1.0.3 of the software, updated from that published in STB-60 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 & Tairi Room, 2000. "LOMODRS: Stata module to perform Lo R/S test for long range dependence in timeseries," Statistical Software Components S412601, Boston College Department of Economics, revised 26 Jun 2006.
  • Handle: RePEc:boc:bocode:s412601 Note: This module may be installed from within Stata by typing "ssc install lomodrs". Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/l/lomodrs.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lomodrs.hlp
    File Function: help file
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