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

Rob Schoen ()
Additional contact information
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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/arfsim.zip program code archive (application/zip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:r940902

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().