WHITTLE: Stata module to compute long-memory parameter via Whittle method

Christopher Baum, Stan Hurn and Kenneth Lindsay ()
Additional contact information
Kenneth Lindsay: University of Glasgow

Statistical Software Components from Boston College Department of Economics

Abstract: The Whittle routine implements the local Whittle and exact local Whittle estimators of the order of fractional integration of a time series.

Language: Stata
Requires: Stata version
Keywords: long memory; Whittle; fractional integration (search for similar items in EconPapers)
Date: 2021-01-12, Revised 2023-03-06
Note: This module may be installed from within Stata by typing "ssc install whittle". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/w/whittle.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/whittle.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/n/nile.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/sealevel.dta sample data file (application/x-stata)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458894

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