FDIF Call

Fractionally Integrated Time Series Analysis

obtain a fractionally differenced process

CALL FDIF( out, series, d);

The inputs to the FDIF subroutine are as follows:

series: specifies a time series with n length.
d: specifies a fractional differencing order. This argument is required; the value of d should be in the open interval (-1,1) excluding zero.

The FDIF subroutine returns the following value:

Consider an ARFIMA(1,0.3,1) process

$(1-0.5B)(1-B)^{0.3}y_t=(1+0.1B){\epsilon}_t$

Let z_t=(1-B)^0.3y_t, that is, z_t follows an ARMA(1,1). To get the filtered series z_t, you can specify

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