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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?

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2 Answers 2

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Well now we have partialCI: An R package for the analysis of partially cointegrated time series by Matthew Clegg, Christopher Krauss and Jonas Rende

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The CRAN Task Views page for Time Series Analysis lists the fracdiff package: Fractionally differenced ARIMA aka ARFIMA(p,d,q) models.

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.

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