AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates the fractional difference power for a series using the bias-reduced technique from Andrews and Guggenberger(2003), "A Biased-Reduced Log-periodogram Regression Estimator for the Long-Memory Parameter", Econometrica, vol 71, no. 2, 675-712.

Language: RATS
Requires: RATS 5.10
Keywords: Spectral analysis; long memory; fractional difference (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/agfractd.src (text/plain)

Related works:
Journal Article: A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00005

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