Does anybody know if there is a way to include exogenous X-variables in an
ARFIMA model?
It appears the ARFIMA function in fracdiff does not support this.
Supposing there is nothing already written, and I wanted to modify the existing
arfima function, how would I go about this?
Would I need to modify the fracdiff() binaries and compile them on my machine?
I'm running Windows....I think I'm screwed = (
-- Scotty
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