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ARFIMAFC: RATS modules to forecast fractionally differenced timeseries


  • Christopher F Baum

    () (Boston College)

  • John T. Barkoulas

    () (Louisiana Tech University)


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.

Suggested Citation

  • Christopher F Baum & John T. Barkoulas, 1996. "ARFIMAFC: RATS modules to forecast fractionally differenced timeseries," Statistical Software Components R022701, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:r022701

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    fractional differencing; ARMA; ARFIMA;


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