Hi,
Does anyone know of any Stata programs that users may have
written for long memory models in the time, rather than the
frequency, domain?
Thanks in advance,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: Kit Baum <[email protected]>
Date: Tuesday, June 27, 2006 9:48 am
Subject: st: revised dmariano
> The dmariano (Diebold-Mariano forecast comparison statistic)
> routine
> has been revised to correct a minor error in the computation of the
>
> long-run variance. I am grateful to Somchai Amornthum for bringing
> this to my attention. The corrected version uses Mata, thus
> requiring
> Stata 9.2, and is available from SSC. If you have already installed
>
> the routine, adoupdate will do the job.
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
