.-
help for ^fracdiff^                
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Generate fractionally-differenced timeseries
--------------------------------------------

        ^fracdiff^  varname  [^if^ exp] [^in^ range] D[real] [, ^GEN^erate(varn
> ame)] 

^fracdiff^ is for use with time-series data.  You must ^tsset^ your data before
>  
using ^fracdiff^; see help @tsset@.  ^fracdiff^ supports the ^by^ prefix, which
>  may be used to operate on each time
    series in a panel. Alternatively, the ^if^ qualifier may be used to specify
>  a single time
    series in a panel.



Description
-----------

^fracdiff^ computes a fractionally-differenced timeseries, given a value
of the fractional integration (long memory) parameter ^d^. If a series
exhibits long memory, it is neither stationary (I[0]) nor is it a unit 
root (I{1}) process; it is an I(d) process, with d a real number. 
An excellent survey of long memory models--which originated in
hydrology, and have been widely applied in economics and finance--
is given by Baillie (1996). 

Once one of several available estimators has been used to determine the
^d^ value for a timeseries, ^fracdiff^ may be used to generate the 
fractionally integrated transformation of the original series. Since
this transformation involves applying an infinite-order lag distribution
to the original series, the first twelve observations of the original 
series are used to provide starting values. ^fracdiff^ requires that there
are no gaps, or missing values, within the specified sample. The resulting
series will be named ^fracdiff^ by default, if that series name is not
in use. The name of the new series may be specified with the ^generate^
option.

We illustrate ^fracdiff^ by using the GPH estimator (Geweke and Porter-
Hudak, 1983) to estimate the fractional differencing parameter for a 
timeseries. The ^gphudak^ routine saves its point estimate of ^d^ in 
^r(gph)^, which is then provided to the ^fracdiff^ routine.

Examples
--------
        
        . ^use http://fmwww.bc.edu/ec-p/data/Mills2d/fta.dta^
        . ^gphudak ftap^
        . ^fracdiff ftap,d(`r(gph)') gen(lmftap)^


References
----------

Baillie, R., Long Memory Processes and Fractional Integration in 
      Econometrics, Journal of Econometrics, 73, 1996, 5-59.
      
Geweke, J. and Porter-Hudak, S.,  The Estimation and Application
      of Long Memory Time Series Models, J. of Time Series Analysis,
      1983, 221-238.

Author
-------

        Christopher F Baum, Boston College, USA
        baum@@bc.edu

        
Also see
--------

On-line:  help for @tsset@, @gphudak@ (if installed), @modlpr@ (if installed),
          @roblpr@ (if installed), @lomodrs@ (if installed)