ARFIMAFC: RATS modules to forecast fractionally differenced timeseries

Christopher Baum () and John Barkoulas ()

Statistical Software Components from Boston College Department of Economics

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.

Language: RATS
Requires: RATS version 4.0
Keywords: fractional differencing; ARMA; ARFIMA (search for similar items in EconPapers)
Date: Written

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/f/fdfc.src program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fdarfc.src program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fdma1fc.src program code (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:r022701

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