Displaying 2 results from an estimated 2 matches for "fdfilt".
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fdfile
2002 Jan 09
2
How to obtain the series of residuals from fracdiff
Hi
I'm using fracdiff package to estimate the parameters of a
fractionally-differenced ARIMA (p,d,q) model, and it works fine, but I wanted
to have also the filtered series and the series of residuals.
I understand these are calculated in the subroutine fdfilt, in the program
fdcore.f, but I can't manage to get them out.
Any suggestion would be much appreciated
Thanks
Susana Barbosa
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2013 Apr 24
0
Residuals for fracdiff
...acdiff
>
> Hi
>
> I'm using fracdiff package to estimate the parameters of a
> fractionally-differenced ARIMA (p,d,q) model, and it works fine, but I
wanted
> to have also the filtered series and the series of residuals.
> I understand these are calculated in the subroutine fdfilt, in the program
> fdcore.f, but I can't manage to get them out.
>
> Any suggestion would be much appreciated
>
> Thanks
>
> Susana Barbosa
Hi Susana
For fractional differencing you can use, e.g., something like
fracdiff <- function (x, d, N = 100)
{
n <- 0:N
w <...