GPHUDAK: Stata module to estimate long memory in a timeseries

Christopher Baum () and Vince Wiggins ()
Additional contact information
Vince Wiggins: Stata Corporation

Statistical Software Components from Boston College Department of Economics

Abstract: gphudak computes the Geweke/Porter-Hudak (GPH, 1983) estimate of the long memory (fractional integration) parameter, d, of a timeseries. The GPH method uses nonparametric methods--a spectral regression estimator-- to evaluate d without explicit specification of the 'short memory' (ARMA) parameters of the series. The series is usually differenced so that the resulting d estimate will fall in the [-0.5, 0.5] interval. This is version 1.1.2 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.

Language: Stata
Requires: Stata version 8.2
Keywords: time-series data; fractional integration; long memory (search for similar items in EconPapers)
Date: Written 1999-08-25
Note: This module may be installed from within Stata by typing "ssc inst gphudak". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/gphudak.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/gphudak.hlp help file (text/plain)

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