− 0.3762 sigma_u 0.12981728sigma_e 0.08247045rho 0.71246288 (fraction of variance due to u_i) F test that all u_i = 0:F(24,558) Source: Authors’ extracted information from Stata 14.Random-effects GLS regression Number of obs = 600 ...
Moreover, if d1 is positive, x(t) displays the property of long memory since in that case its spectral density function becomes $$\:{f\left(\lambda\:;\:\:\tau\:\right)=\:\frac{\:{\sigma\:}^{2}}{2\pi\:}{\left|\frac{1}{1-{e}^{i\lambda\:}}\right|}^{{d}_{1}},...
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