English, Article edition: ARFIMAFC: RATS modules to forecast fractionally differenced timeseries Christopher F Baum; John T. Barkoulas

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Bookmark: http://trove.nla.gov.au/version/102487
Physical Description
  • code
Language
  • English

Edition details

Title
  • ARFIMAFC: RATS modules to forecast fractionally differenced timeseries
Author
  • Christopher F Baum
  • John T. Barkoulas
Physical Description
  • code
Notes
  • these procedures generate multi-period-ahead dynamic forecasts of timeseries with a fractionally differenced representation (ARFIMA). fdfc.src forecasts an ARFIMA(0,d,0) series for specified d. fdarfc.src forecasts an ARFIMA(p,d,0) series for specified p and d: that is, a series with an AR(p) fractional representation. fdma1fc.src forecasts an ARFIMA(0,d,1) series for specified d.
  • fractional differencing, ARMA, ARFIMA
  • RePEc:boc:bocode:r022701
Language
  • English
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