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Baillie, R. 1996. Long memory processes and fractional integration in econometrics.Journal of Econometrics73: 5–59.
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Geweke, J. and S. PorterHudak. 1983. The estimation and application of long memory time series models.Journal of Time Series Analysis4: 221–238.
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Granger, C. W. J. and R. Joyeux. 1980. An introduction to longmemory time series models and fractional differencing.Journal of Time Series Analysis 1: 15–39.
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Hosking, J. R. M. 1981. Fractional differencing.Biometrika68: 165–176.
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Phillips, P. C. B. 1999a. Discrete Fourier transforms of fractional processes. Unpublished working paper No. 1243, Cowles Foundation for Research in Economics, Yale University.http://cowles.econ.yale.edu/P/cd/d12a/d1243.pdf ——. 1999b. Unit root log periodogram regression. Unpublished working paper No. 1244, Cowles Foundation for Research in Economics, Yale University.http://cowles.econ.yale.edu/P/cd/d12a/d1244.pdf
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Robinson, P. M. 1995. Logperiodogram regression of time series with long range dependence.Annals of Statistics23: 1048–1072.
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Sowell, F. 1992. Maximum likelihood estimation of stationary univariate fractionallyintegrated timeseries models,Journal of Econometrics53: 165–188. sts17Compacting time series data
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Christopher F. Baum, Boston College, baum@bc.edu Abstract:tscollapprovides the ability to compact data of monthly, quarterly or halfyearly frequencies to a lower frequency by one or more methods (e.g., average, sum, last value per period, and so on). Keywords:time series, data frequency, collapse. Syntax
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Thetscollapcommand is for use with time series data of monthly, quarterly, or halfyearly frequency. You musttsset your data before using this command; see [U]tsset. If the data are a panel of time series, that is, if apanelvarhas been specified intsset, the specification of the panel identification variable will automatically be retained in the resulting dataset (it need not, and should not, be specified in thevarlist). Time series operators may not be used. Thetsmktimcommand (described indm81; see pages 2–4) is a convenient way to generate the appropriatetssetcommand
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Options totheSTBare presently categorized as follows: General Categories: anannouncementsipinstruction on programming cccommunications & lettersosoperating system, hardware, & dmdata managementinterprogram communication dtdatasetsqsquestions and suggestions grgraphicsttteaching ininstructionzznot elsewhere classified Statistical Catego
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