FRACTINT: RATS program to estimate a model with fractional differencing

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Demonstrates estimation of a fractionally differenced ARMA model (ARFIMA) using the Whittle likelihood.

Language: RATS
Requires: RATS 11.00
Keywords: ARFIMA model; fractional differencing; long memory (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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