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

Rob Schoen ()
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Rob Schoen: New York University

Statistical Software Components from Boston College Department of Economics

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

Language: RATS
Keywords: long memory; fractional integration (search for similar items in EconPapers)
Date: 1999-04-05

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