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ARFSIM: RATS module to simulate ARFIMA(0,d,0) fractionally integrated series

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Author Info
Rob Schoen () (New York University)
Abstract

arfsim.src simulates the ARFIMA(0,d,0) model with unit innovation variance. Uses Davies and Harte Method (see Beran p 216-217).

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File URL: http://fmwww.bc.edu/repec/bocode/a/arfsim.zip
File Format: application/zip
File Function: program code archive
Download Restriction: no

Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number R940502.

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Programming language: RATS
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Date of creation: 05 Apr 1999
Date of revision:
Handle: RePEc:boc:bocode:r940902

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Related research
Keywords: long memory; fractional integration;

Statistics
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This page was last updated on 2009-12-22.

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