Re: [Gretl-users] Slight change in fracdiff
On Mon, 2 May 2005, jack wrote:
First, thanks for all the goodies recently appeared in CVS.
Glad you like.
Please apply the following. The fractional difference operator is
perfectly defined for |d| <= 1; the limiting case d=-1 corresponds
to cumulating a series. Fractionally differencing for d>1 can be
accomplished by "normal" differencing first for the integral part,
and then applying \Delta^d for the fractional part...
Thanks, done.
Allin Cottrell