FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: fracirf computes the infinite moving average representation (or impulse response function) of a fractionally-integrated timeseries, given a value of the fractional integration (long memory) parameter ^d^ and, optionally, values of p autoregressive and q moving average parameters corresponding to an ARFIMA(p,d,q) representation. This is version 1.0.1 of the software.

Language: Stata
Requires: Stata version 6.0
Keywords: time-series data; fractional integration; long memory (search for similar items in EconPapers)
Date: 2000-09-25, Revised 2000-10-11
Note: This module may be installed from within Stata by typing "ssc install fracirf". 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/fracirf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fracirf.hlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s414004

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