FRACDIFF: Stata module to generate fractionally-differenced timeseries

Statistical Software Components from Boston College Department of Economics

Abstract: fracdiff computes a fractionally-differenced timeseries, given a value of the fractional integration (long memory) parameter d.

Language: Stata
Requires: Stata version 8.2
Keywords: time-series data; fractional integration; long memory (search for similar items in EconPapers)
Date: Written 2000-09-06
Note: This module may be installed from within Stata by typing "ssc install fracdiff". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/f/fracdiff.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fracdiff.hlp help file (text/plain)

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