FRACDIFF: Stata module to generate fractionally-differenced timeseries

Christopher Baum

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: 2000-09-06, Revised 2006-03-24
Note: This module may be installed from within Stata by typing "ssc install fracdiff". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (2)

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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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s413901

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