Dear GRETL Developers, Dear Prof. Luchetti,
The reference I came across about Fractional Integration with Breaks is Mayoral 2006 Testing for Fractional integration versus short memory with trends and structural breaks.
Laura Mayoral, Dept. of Economics and Business, Universidad Pompeu Fabra.
I am trying to append the pdf file to my message. It seems that its application should not be so difficult since it is in time domain and not in frequency one.
Thanks in advance and best regards (Tante grazie in antecipo e saluti cordiali).
Taylan Zafer Bali
Date: Thu, 01 Jul 2021 19:50:41 +0300
From: "taylan.bali@ankara.edu.tr" <Taylan.Bali@ankara.edu.tr>
Subject: [Gretl-users] GRETL package for testing fractional
integration with trends and breaks
To: gretl-users@gretlml.univpm.it
Message-ID: <b5915a0223ced10fa03720e7d074961a@ankara.edu.tr>
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Dear GRETL Experts,
Is there a GRETL package for testing fractional integration with trends
and breaks in data, preferably in a panel setting?
Thank you in advance.
Taylan Zafer Bali
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<p>Dear GRETL Experts,</p>
<p>Is there a GRETL package for testing fractional integration with trends =
and breaks in data, preferably in a panel setting?</p>
<p>Thank you in advance.</p>
<p>Taylan Zafer Bali</p>
</body></html>
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Date: Thu, 1 Jul 2021 19:19:12 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <p002264@staff.univpm.it>
Subject: [Gretl-users] Re: GRETL package for testing fractional
integration with trends and breaks
To: Gretl list <gretl-users@gretlml.univpm.it>
Message-ID:
<alpine.DEB.2.22.394.2107011917550.55792@jack-SATELLITE-L850-1L1>
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On Thu, 1 Jul 2021, taylan.bali@ankara.edu.tr wrote:
Dear GRETL Experts,
Is there a GRETL package for testing fractional integration with trends
and breaks in data, preferably in a panel setting?
Not as yet. Do you have any specific method in mind? Can you give us some=
=20
bibliographical pointers?
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit=E0 Politecnica delle Marche
(formerly known as Universit=E0 di Ancona)
r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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