Does anybody know if there is a way to include exogenous X-variables in an ARFIMA model? It appears the ARFIMA function in fracdiff does not support this. Supposing there is nothing already written, and I wanted to modify the existing arfima function, how would I go about this? Would I need to modify the fracdiff() binaries and compile them on my machine? I'm running Windows....I think I'm screwed = ( -- Scotty _________________________________________________________________ Get more from your digital life. Find out how. [[alternative HTML version deleted]]