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

[Brandon.J.Whitcher at gsk.com]

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

A limited number of functions that deal with fractional difference 
processes (or long-memory processes) are available in the "waveslim" 
package.  Specifically, (1) ML-based parameter estimation for univariate 
LM processes using the discrete wavelet transform (DWT), (2) locating 
variance change points in LM processes, (3) ML-based parameter estimation 
for univariate seasonal LM processes, (4) examples using time series in 
finance and economics.

cheers...

Brandon


Brandon Whitcher, PhD
Translational Medicine & Technology
GlaxoSmithKline
Greenford Road
Greenford UB6 0HE, United Kingdom
	[[alternative HTML version deleted]]