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 :)
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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
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