EACF: Stata module to compute Extended Sample Autocorrelation Function

Haowen Zheng ()
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Haowen Zheng: Lingnan College, Sun Yat-Sen University, China

Statistical Software Components from Boston College Department of Economics

Abstract: eacf computes the Extended Sample Autocorrelation Function. This approach was put forward by Tsay, Ruey S. and George C. Tiao in their paper 1984 JASA "Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models".

Language: Stata
Requires: Stata version 15
Keywords: time series; autocorrelation; sample autocorrelation function (search for similar items in EconPapers)
Date: 2023-02-25
Note: This module should be installed from within Stata by typing "ssc install eacf". 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/e/eacf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eacf.sthlp help file (text/plain)
http://repec.org/bocode/l/leacf_acf.mlib object library (application/octet-stream)
http://repec.org/bocode/l/leacfFile-URL:http://fmw ... ode/_/calculate.mlib object library (application/octet-stream)
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http://fmwww.bc.edu/repec/bocode/e/eacf_mata_files.zip zip archive (application/zip)
http://fmwww.bc.edu/repec/bocode/s/seriesA.dta sample data file (application/x-stata)

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