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@univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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