GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: This procedure is a generalization of Estima's GPH.SRC procedure which performs the Geweke/Porter-Hudak log-periodogram regression on a timeseries to estimate the order of fractional integration. As recently noted by Ooms and Hassler (Econ. Letters, 56:2, 1997) this regression will inappropriately include ordinates corresponding to seasonal frequencies when the data series have been seasonally adjusted. The modified procedure 'zero-pads' the series and removes those ordinates, following recommendations of Ooms and Hassler. An option permits the disabling of these features for ready comparison with the standard GPH regression.

Language: RATS
Date: 1998-02-23
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