R/arfimaOLS.R

In ArfimaMLM: Arfima-MLM Estimation For Repeated Cross-Sectional Data

#' @export
arfimaOLS <-
  function(formula, data, timevar
           , d="Hurst", arma=NULL
           , ecmformula=NULL, decm="Hurst"
           , drop=5, report.data=TRUE
           , ...){
    
    # extract variables from formula
    varlist <- extractVars(formula, ecmformula)
    
    # prepare dataset
    new <- arfimaPrep(data=data, timevar=timevar
                      , varlist.mean=varlist$mean, varlist.fd=varlist$fd
                      , varlist.xdif=varlist$xdif, varlist.ydif=varlist$ydif
                      , d=d, arma=arma, ecmformula=ecmformula, decm=decm, drop=drop)
    
    # estimate linear model  
    res <- lm(formula, data=new$data.merged, ...)
    
    # output
    if (report.data==T){
      out <- list(result=res,d=new$d,arma=new$arma,ecm=new$ecm
                  ,data.mean=new$data.mean,data.fd=new$data.fd,data.merged=new$data.merged)
    } else out <- list(result=res,d=new$d,arma=new$arma,ecm=new$ecm)
    class(out) <- "arfimaOLS"
    out
  }