[Gretl-users] fracdiff and fraclag

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Thu Jun 18 06:30:41 EDT 2009


On Thu, 18 Jun 2009, Klein, Christoph wrote:

> Hi, 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?

I see nothing wrong with your parch (apart from the indent style :-)). I 
ran a few test and seems to work ok. Of course, the ultimate authorithy is 
Allin, but FWIW, good job, thanks!!

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti


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