Re: [Gretl-users] Fractional Differencing / Integration

On Mon, 16 May 2016, Fernando Fernandes Neto wrote: Hello folks. > > I'd like to know if there is a simple way of making a fractional > integration of a time series. > > I.e., I've built a model for a fractional differenced series. Then, I'd > like to obtain the original level series again, for comparison purposes > with other traditional models. How can I do that? > The fracdiff() function accepts negative orders. For example <hansl> nulldata 10 set seed 666 a = normal() b = fracdiff(a, 0.5) c = fracdiff(b, -0.5) print a b c -o </hansl> yields <output> a b c 1 0.199469 0.199469 0.199469 2 1.328938 1.229204 1.328938 3 -2.120188 -2.809591 -2.120188 4 -0.846691 0.034819 -0.846691 5 -0.286455 0.311063 -0.286455 6 -0.284065 0.040144 -0.284065 7 0.394352 0.667501 0.394352 8 0.160543 0.077359 0.160543 9 -0.306122 -0.364137 -0.306122 10 -0.057199 0.102028 -0.057199 </output> ------------------------------------------------------- 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