

Dear All

Are there any packages supporting estimation and simulation of fractionally integrated processes more specifically FIAPARCH?

I tried the OxInterface but I cannot get it to work properly. This is what is printed in R on call to garchOxFit(...):

Ox Console version 6.21 (Windows/U) (C) J.A. Doornik, 1994-2011
This version may be used for academic research and teaching only
C:\Ox\lib\GarchOxModelling.ox (6): 'packages/Garch42/garch.h' include file not found
C:\Ox\lib\GarchOxModelling.ox (28): 'fopen' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (29): 'fscan' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (39): 'fclose' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (40): 'Garch' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (40): class expected
C:\Ox\lib\GarchOxModelling.ox (47): 'Y_VAR' undeclared identifier
C:\Ox\lib\GarchOxModelling.ox (227): 'fprint' undeclared identifier
Error in file(file, "r") : cannot open the connection
In addition: Warning messages:
1: running command 'C:\Ox\bin\oxl.exe C:\Ox\lib\GarchOxModelling.ox' had status 1 
2: In file(file, "r") :
  cannot open file 'OxResiduals.csv': No such file or directory

Best regards
Jesper Hybel
Student Economics Copenhagen University

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