GPH—Geweke-Porter-Hudak estimator for frac diff
Posted: Tue Oct 01, 2019 9:27 am
@GPH estimates the fractional difference power for series using the frequency domain regression techniques of Geweke and Porter-Hudak(1983), "The Estimation and Application of Long Memory Time Series Models", J. of Time Series Analysis, vol 4, pp 221-238. This runs a linear regression on transformed data over a small set of low frequencies. A related procedure is @AGFRACTD.
Detailed description
Detailed description