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ARFIMAFC: RATS modules to forecast fractionally differenced timeseries

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Author Info
Christopher F Baum () (Boston College)
John T. Barkoulas () (Louisiana Tech University)

Additional information is available for the following registered author(s):

Abstract

these procedures generate multi-period-ahead dynamic forecasts of timeseries with a fractionally differenced representation (ARFIMA). fdfc.src forecasts an ARFIMA(0,d,0) series for specified d. fdarfc.src forecasts an ARFIMA(p,d,0) series for specified p and d: that is, a series with an AR(p) fractional representation. fdma1fc.src forecasts an ARFIMA(0,d,1) series for specified d.

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File URL: http://fmwww.bc.edu/repec/bocode/f/fdfc.src
File Format: text/plain
File Function: program code
Download Restriction: no
File URL: http://fmwww.bc.edu/repec/bocode/f/fdarfc.src
File Format: text/plain
File Function: program code
Download Restriction: no
File URL: http://fmwww.bc.edu/repec/bocode/f/fdma1fc.src
File Format: text/plain
File Function: program code
Download Restriction: no

Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number R022701.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
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Programming language: RATS
Requires: RATS version 4.0
Date of creation: 15 Aug 1996
Date of revision:
Handle: RePEc:boc:bocode:r022701

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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: fractional differencing ARMA ARFIMA

Statistics
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This page was last updated on 2008-8-19.

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