RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Procedure which uses Robinson's Gaussian semiparametric estimator for estimating the fractional differencing parameter. Robinson(1992), "Semiparametric analysis of long-memory time series", Annals of Statistics, vol 22, 515-539.

Language: RATS
Requires: RATS 6.00
Keywords: Fractional differencing; long memory (search for similar items in EconPapers)
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