[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
Brandon.J.Whitcher at gsk.com
Fri Dec 3 20:46:05 CET 2004
> 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
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