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MODLPR: Stata module to estimate long memory in a timeseries

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

modlpr computes a modified form of the Geweke/Porter-Hudak (GPH, 1983) estimate of the long memory (fractional integration) parameter, d, of a timeseries, proposed by Phillips (1999a, 1999b). Distinguishing unit-root behavior from fractional integration may be problematic, given that the GPH estimator is inconsistent against d>1 alternatives. This weakness of the GPH estimator is solved by Phillips' Modified Log Periodogram Regression estimator, in which the dependent variable is modified to reflect the distribution of d under the null hypothesis that d=1. Removal of a linear trend is now the default behavior. This is version 1.1.7 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. "MODLPR: Stata module to estimate long memory in a timeseries," Statistical Software Components S411002, Boston College Department of Economics, revised 12 Feb 2006.
    • Handle: RePEc:boc:bocode:s411002
    Note: This module may be installed from within Stata by typing "ssc install modlpr". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/m/modlpr.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/modlpr.hlp
    File Function: help file
    Download Restriction: no
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