Fractional differencing operator

[miranda]

dear eviews community, i am studying the long memory properties of time series which i need to take the fractional differences. i enjoy using eviews in my studies and usually find the solution on my own. but this time i wasn't able to do that :( i couldn't find any fractional differencing command or operator. i think a routine can be written in eviews but unfortunately i am not that good in eviews. for those who are interested i suggest the paper of Francis X. Diebold, Glenn D. Rudebusch, Long Memory And Persistence In Aggregate Output, Journal of Monetary Economics 24 (1989), 189-209. any help is highly appreciated!

[trubador]

I have tried to write a program based on the reference you cited. You can access it from here:
http://forums.eviews.com/viewtopic.php? ... 372#p11370 Although it is written for EViews 7, it can be easily modified to work for earlier versions. You can also make necessary changes where and if needed, since it has not been fully tested.

[miranda]

awesome!!! my friend had a matlab code and we compared the results. guess what? results are identical! thank you sooo much!!!!