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## From: VINOD@FORDHAM.EDU
## To: maechler@stat.math.ethz.ch
## X-Spam-Level: *
## Subject: fracdiff in R does not work for gnp series "insufficient workspace"
## Date: Sun, 15 May 2005 13:24:46 -0400
## Dear Martin Maechler
## I teach econometrics at Fordham. For some reason the fracdiff
## does not work for the basic gnp series.
library(fracdiff)
if(FALSE) {
##MM library(urca)
##MM data(npext)
data(npext, package = "urca") # Nelson Plosser data
## "bad practice": attach(npext)
realgnp2 <- npext[50:129, "realgnp"] # to exclude missing data
} else { ## keep test independent:
realgnp2 <-
c(4.7604631, 4.7883247, 4.8138091, 4.8690717, 4.8782461, 4.8331023,
4.8243057, 4.9000761, 4.9067552, 5.0225639, 4.9863426, 4.9416424,
4.8504665, 4.9972123, 5.1113852, 5.1089712, 5.1896179, 5.2470241,
5.2459709, 5.2517497, 5.3161573, 5.2122147, 5.1316723, 4.9712012,
4.9522997, 5.0388988, 5.1328529, 5.2626902, 5.3141907, 5.2621719,
5.3442463, 5.4258307, 5.5748121, 5.6964221, 5.8203796, 5.8897086,
5.872681, 5.7449244, 5.7362497, 5.7798172, 5.7810521, 5.8729625,
5.9490788, 5.9791389, 6.0229632, 6.0088132, 6.0822189, 6.1005431,
6.1147878, 6.1032295, 6.1652077, 6.1897005, 6.2089924, 6.2724996,
6.3117348, 6.3649229, 6.4261648, 6.4893569, 6.5150089, 6.5604647,
6.5857578, 6.5792512, 6.6067, 6.6552832, 6.705961, 6.700553,
6.687906, 6.7356178, 6.781224, 6.8328012, 6.8572808, 6.8556192,
6.8747935, 6.8489768, 6.8840768, 6.9496707, 6.9826227, 7.0096668,
7.0455416, 7.0888837)
}
fr1 <- fracdiff(realgnp2, nar = 0, nma = 0, M = 100)
## COMPUTER SAYS
## Error in switch(result$info, stop("insufficient workspace"), stop("error in
## gamma function"), :
## insufficient workspace
fr1
## ...
## Hrishikesh D. Vinod
## Professor of Economics, Fordham University
## E-Mail: Vinod@fordham.edu
## Web page: http://www.fordham.edu/economics/vinod
summary(fr1)
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