English, Article edition: LOMODRS: Stata module to perform Lo R/S test for long range dependence in timeseries Christopher F Baum; Tairi Room

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/102624
Physical Description
  • code
Language
  • English

Edition details

Title
  • LOMODRS: Stata module to perform Lo R/​S test for long range dependence in timeseries
Author
  • Christopher F Baum
  • Tairi Room
Physical Description
  • code
Notes
  • 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.
  • time-series data, long range dependence, r/​s test, rescaled range test
  • RePEc:boc:bocode:s412601
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment