FracDiff is a fractional differencing procedure based on the
fast fractional difference algorithm of Jensen & Nielsen (2014).
A matrix of variables to be included in the system.
The order of fractional differencing.
A vector or matrix
dx equal to (1-L)^d x
of the same dimensions as x.
This function differs from the
fracdiff package, in that the
function demeans the series first.
In particular, the difference between the out put of the function calls
FCVAR::FracDiff(x - mean(x), d = 0.5)
fracdiff::diffseries(x, d = 0.5) is numerically small.
Jensen, A. N. and M. Ø. Nielsen (2014). "A fast fractional difference algorithm," Journal of Time Series Analysis 35, 428-436.
FCVARoptions to set default estimation options.
GetParams, which calls
to estimate the FCVAR model.
TransformData in turn calls
to perform the transformation.
Other FCVAR auxiliary functions:
set.seed(42) WN <- matrix(stats::rnorm(200), nrow = 100, ncol = 2) MVWNtest_stats <- MVWNtest(x = WN, maxlag = 10, printResults = 1) x <- FracDiff(x = WN, d = - 0.5) MVWNtest_stats <- MVWNtest(x = x, maxlag = 10, printResults = 1) WN_x_d <- FracDiff(x, d = 0.5) MVWNtest_stats <- MVWNtest(x = WN_x_d, maxlag = 10, printResults = 1)
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