FRACDIFF: Stata module to generate fractionally-differenced timeseries
fracdiff computes a fractionally-differenced timeseries, given a value of the fractional integration (long memory) parameter d.
|Requires:||Stata version 8.2|
|Date of creation:||06 Sep 2000|
|Date of revision:||24 Mar 2006|
|Note:||This module may be installed from within Stata by typing "ssc install fracdiff". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: |
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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