Command Reference : Special Expression Reference
Fractional difference specification.
The D specification can appear in an ls equation specification to indicate that the equation should be estimated with fractional differencing (typically as part of an ARFIMA model).
The command:
ls m1 c tb3 tb3(-1) ar(1) ar(4) d
regresses M1 on a constant, TB3, and TB3 lagged once with a first order and fourth order autoregressive component and fractional differencing.
See “Time Series Regression” for details on ARMA and seasonal ARMA modeling.
See also sar, ma, and sma.