MODLPR: Stata module to estimate long memory in a timeseries
Christopher F Baum
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.
time-series data, fractional integration, long memory
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