On 05/13/2012 05:15 PM, José Belbute wrote:
Let me suggest to the gretl development team to create an ARFIMA routine
to test the presence of long memory in a time series.
If you want to _test_ for long memory, check out the "fractional
integration" menu item under unit root tests. (Equivalent command
A prepackaged ARFIMA routine for estimation indeed doesn't seem to
available, however. (This is typically the point where Jack responds
that you just need two lines of hansl code to do that.) Depending on
what you want to do, it may be enough to apply fractional differencing
to the data (Variable -> Filter -> Fractional difference) and then fit a
standard ARMA model.
Moreover, I also would like to suggest to add a Kalman filter routine to
the existing filters.
The Kalman filter already exists in gretl, look for it in the user's
guide. Jack (Lucchetti) also has an article on it in a journal (JSS?).
But of course it's not simply a filter like an HP filter (and the name
is actually misleading IMHO), so it doesn't appear under the filter