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: <3C3D6095.5EB01FAA@lmttrading.com>
 
 

> Date: Wed, 9 Jan 2002 07:57:31 +0000
> From: Susana Barbosa <susanabarbosa@novalis.fc.up.pt
<mailto:susanabarbosa@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

 


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