AGFRACTD—Andrews-Guggenberger estimator

[TomDoan]

@AGFRACTD estimates fractional difference power for series using the bias-reduced technique from Andrews and Guggenberger(2003), "A Biased-Reduced Log-periodogram Regression Estimator for the Long-Memory Parameter", Econometrica, vol 71, no. 2, pp 675-712. This is a refinement of the estimator in @GPH.

Detailed description