Language Reference

FDIF Call

obtains a fractionally differenced process

CALL FDIF( out, series, d);

The inputs to the FDIF subroutine are as follows:

series

specifies a time series with length.

d

specifies a fractional differencing order. This argument is required; the value of should be in the open interval excluding zero.

The FDIF subroutine returns the following value:

out

is an vector containing the fractionally differenced process.

Consider an ARFIMA() process

Let ; that is, follows an ARMA(1,1). To get the filtered series , you can use the following code:

  
    d    = 0.3; 
    phi  = 0.5; 
    theta= -0.1; 
    call farmasim(yt, d, phi, theta) n=100; 
    call fdif(zt, yt, d); 
    print zt;