[Gretl-users] fractional differencing

Hi everybody, I wrote a small function to perform fractional differencing on a given series (attached), loosely modelled after get_diff in lib/src/transforms.c. I'd already had it integrated into the command line interface, were it not for the fact that I found it difficult to define the command the way I'd like it, ie something like genr y = fracdiff(x,d) where d is the fractional differencing parameter (-0.5 < d < 0.5). I'm sure it'd take Allin very little to do this. Comments on the code are very welcome; I did some basic testing, mainly on an Ox prototype, but things might well be broken. Cheers, Riccardo `Jack' Lucchetti Dipartimento di Economia Università di Ancona jack(a)dea.unian.it http://www.econ.unian.it/lucchetti