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我是不懂什么Phillips‘ Modified Log-Periodogram Regression Estimator
但是我好像找到指令并灌好了！
里面还有一个例子。
我贴一下在stata里，对该指令的描述
Description
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modlpr computes a modified form of the Geweke/Porter-Hudak (GPH, 1983)
estimate of the long memory (fractional integration) parameter, d, of a
timeseries, proposed by Phillips (1999a, 1999b). 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. However,
distinguishing unit-root behavior from fractional integration may be
problematic, given that the GPH estimator is inconsistent against d>1
alternatives.
This weakness of the GPH estimator (see gphudak) is solved by Phillips'
Modified Log Periodogram Regression estimator, in which the dependent
variable is modified to reflect the distribution of d under the null
hypothesis that d=1. The estimator gives rise to a test statistic for d=1,
which is a standard normal variate under the null. Phillips suggests (p.11)
that deterministic trends should be removed from the series before application
of the estimator. By default, a linear trend is extracted from the series.
This may be suppressed with the notrend option.
A choice must be made of the number of harmonic ordinates to be included
in the spectral regression. The regression slope estimate is an estimate of
the slope of the series' power spectrum in the vicinity of the zero
frequency; if too few ordinates are included, the slope is calculated from
a small sample. If too many are included, medium and high-frequency components
of the spectrum will contaminate the estimate. A choice of root(T), or
power = 0.5, is often employed. To evaluate the robustness of the estimates,
a range of power values (from 0.4 - 0.75) is commonly calculated as well.
modlpr uses the default power of 0.5. A list of powers may be given.
The command displays the d estimate, number of ordinates, conventional
standard error and P-value, as well as the test statistic (zd) for
the test of d=1, and its p-value. These values are returned in a matrix,
e(modlpr), formatted for display. estimates list for details.
不过也许您已经解决问题～
祝福您
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