AGFRACTD Procedure

@AGFRACTD estimates fractional difference power for series using the bias-reduced technique from Andrews and Guggenberger(2003). This is a refinement of the estimator in @GPH. Another alternative for estimating the fractional difference power is @RGSE.

@AGFRACTD( options ) series start end

Parameters

series	series to analyze
start, end	range of series to use. By default, the defined range of series.

Options

POWER=Power of T for low frequencies used in running the regression [not used]

M=Number of frequencies to use in running the regression [Andrews plug-in value]

These are alternatives for choosing the number of frequencies used in the regression.

R=Number of even powers of the frequencies to use [R=0 gives Geweke-Porter-Hudak]

[PRINT]/NOPRINT

TITLE=title for output ["Andrews-Guggenberger Regression, Series ..."]

Variables Defined

%%D	estimated value of d (REAL)
%%DSE	estimated standard error of d (REAL)
%NOBS	number of ordinates in the regression (INTEGER)