Re: [Gretl-users] Default Maximum lag on fracdiff function

Em 7 de dez de 2016, às 15:41, Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it&gt; escreveu: > On Wed, 7 Dec 2016, Fernando Fernandes Neto wrote: > > 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). Short answer: no :) ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users