English, Article edition: ROBLPR: Stata module to estimate long memory in a set of timeseries Christopher F Baum; Vince Wiggins

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Bookmark: http://trove.nla.gov.au/version/103617
Physical Description
  • code
Language
  • English

Edition details

Title
  • ROBLPR: Stata module to estimate long memory in a set of timeseries
Author
  • Christopher F Baum
  • Vince Wiggins
Physical Description
  • code
Notes
  • roblpr computes the Robinson (1995) multivariate semiparametric estimate of the long memory (fractional integration) parameters, d(g), of a set of timeseries, y(g), g=​1,G. G may be one. If more than one series is specified, a test for equality of the fractional integration parameters is performed. Linear constraints on the parameters may also be imposed. This is version 1.2.5 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
  • RePEc:boc:bocode:s411001
Language
  • English
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