ARFIMAFC: RATS modules to forecast fractionally differenced timeseries
Abstractthese 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number R022701.
Programming language: RATS
Requires: RATS version 4.0
Date of creation: 15 Aug 1996
Date of revision:
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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