[Gretl-users] Default Maximum lag on fracdiff function
Hi there.
I have a simple question regarding the definition of how many lags are
considered when we apply a fracdiff over a time series. Is all available
information considered everytime I apply the fracdiff function?
Or is there a default value for a maximum lag ? (thinking of that a
fractional difference can be thought as an infinite AR operator).
Thanks in advance,
Fernando
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