RGSE - Semi-parametric estimator of long-memory parameter
Posted: Tue Jul 03, 2012 4:52 pmThis procedure estimates the "d" parameter for fractional integration using Robinson's Gaussian Semiparametric Estimator from Robinson(1992), "Semiparametric analysis of long-memory time series", Annals of Statistics, vol 22, 515-539. Typically, you will difference the series first apply this to that. If fractional differencing is appropriate, a full difference overshoots, so the estimate will generally be negative. That is, if you apply this to (1-L)y and get an estimate of d=-.2, the conclusion is that (1-L)^.8 y is stationary where the .8=1-.2.
It estimates "d" by examining the spectral density at low frequencies, where "low" is determined by the power of the number of observations set using the POWER option.
@RGSE( options ) series start end
Options
POWER=power of nobs to use as frequencies [.8]
[PRINT]/NOPRINT
TITLE=title of report ["Robinson GSE, Series xxx"]
Variables Defined
It estimates "d" by examining the spectral density at low frequencies, where "low" is determined by the power of the number of observations set using the POWER option.
rgse.src- Procedure file (requires RATS 7.30 or later)
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@RGSE( options ) series start end
Options
POWER=power of nobs to use as frequencies [.8]
[PRINT]/NOPRINT
TITLE=title of report ["Robinson GSE, Series xxx"]
Variables Defined
| %%D | estimated value of D |
| %%DSE | estimated standard error of D |