I am currently reading about fractional integration in the context of error correction models. Does anyone know of a package in R that has a function for Sowells maximum likelihood estimator of d?
Well now we have
partialCI: An R package for the analysis of partially cointegrated time series by Matthew Clegg, Christopher Krauss and Jonas Rende
The package is described as follows:
Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989).
The documentation says that the package can perform the following methods:
- Geweke and Porter-Hudak (GPH) (1983)
- Reisen (1994) estimator
- Haslett and Raftery (1989)
Regarding Sowell's method from 1992, a number of academic articles (example) report that they obtained the FORTRAN code from Fallaw Sowell. Probably, you could request the code and port it to R (if he or the licence approved of that)?!
I couldn't find an existing package with the implementation.