[Gretl-users] fracdiff and fraclag

Klein, Christoph christoph.klein at student.kit.edu
Thu Jun 18 03:52:22 EDT 2009

I have created another patch. This one implements a more intelligent calculation of the fracdiff function in the case of autoreg evaluations. In this case it justs calculates the currently evaluated observation. Additionally it adds a fraclag command to gretl. The fractional lag operator is defined as 1-(1-L)^d. Is it ok to "overload" the fracdiff command for this purpose?

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