FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries
fracirf computes the infinite moving average representation (or impulse response function) of a fractionally-integrated timeseries, given a value of the fractional integration (long memory) parameter ^d^ and, optionally, values of p autoregressive and q moving average parameters corresponding to an ARFIMA(p,d,q) representation. This is version 1.0.1 of the software.
|Requires:||Stata version 6.0|
|Date of creation:||25 Sep 2000|
|Date of revision:||11 Oct 2000|
|Note:||This module may be installed from within Stata by typing "ssc install fracirf". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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