[R-sig-finance] Fractional Integration: Dolado & Gonzalo & Mayoral (2002), A Frac tional Dickey-Fuller Test for Unit Roots, Econometrica

[Pfaff, Bernhard]

Dear list member,

has anybody implemented the above test or other functions with respect to
fractional integration and is willing to make his/her code public? If not, I
will implement the necessary functionalities in `urca'. 

Incidentally, a new version of urca has been uploaded to CRAN (0.6-9,
currently tarball only). The main new features are an `add-in' to `Rcmdr'
shipped in the package's /inst directory and the introduction of \concept in
*.Rd. For further information consult the ChangeLog.

Best Regards,
Bernhard 

ps: I am aware of the packages `fracdiff' as well as `fseries'.


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