ROBLPR: Stata module to estimate long memory in a set of timeseries

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

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 8.2
Keywords: time-series data; fractional integration; long memory (search for similar items in EconPapers)
Date: 2000-04-24
Note: This module may be installed from within Stata by typing "ssc install roblpr". Windows users should not attempt to download these files with a web browser.

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

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Series data maintained by Christopher F Baum ().