Hi,
I am using the fracdiff package to estimate the parameters of an ARFIMA(1,d,1) model. I would also like to get the residuals of the series. I have seen another post about this (below). However, being still quite at the beginner level in terms of R, I did not quite understand how this worked. I also read through the fracdiff package manual with no success to find any help with the residuals. I would be very grateful for any help. Thank you! Best regards, François Messer HEC, Faculty of Business and Economics University of Lausanne Message-id: <3c3d6095.5eb01...@lmttrading.com> > Date: Wed, 9 Jan 2002 07:57:31 +0000 > From: Susana Barbosa <susanabarb...@novalis.fc.up.pt <mailto:susanabarb...@novalis.fc.up.pt?Subject=Re:%20[R]%20How%20to%20obtain %20the%20series%20of%20residuals%20from%20fracdiff> > > Subject: [R] How to obtain the series of residuals from fracdiff > > Hi > > I'm using fracdiff package to estimate the parameters of a > fractionally-differenced ARIMA (p,d,q) model, and it works fine, but I wanted > to have also the filtered series and the series of residuals. > I understand these are calculated in the subroutine fdfilt, in the program > fdcore.f, but I can't manage to get them out. > > Any suggestion would be much appreciated > > Thanks > > Susana Barbosa Hi Susana For fractional differencing you can use, e.g., something like fracdiff <- function (x, d, N = 100) { n <- 0:N w <- gamma(-d+n)/(gamma(-d)*gamma(n+1)) y <- filter(x, w, sides=1) return (y) } Adrian [[alternative HTML version deleted]]
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