function fracdiff

[ecofin]

hi, I have a suggestion for fractional difference if it is possible , to create a function fracdiff(x,n) in EViews 8 when "n" take the real number or to improve the function d(x,n). this function is necessary to automatic forecast the series x or fracdiff(x).

[EViews Glenn]

You might want to look at the fracdiff add-in

http://www.eviews.com/Addins/addins.shtml

[ecofin]

thank's for your reply
I know, I explain i have 'sp500' series (2100 obs daily) I made dlog(sp500) next I test the long memory...etc (d=0.33) for example.
now I estimate the model ARFIMA(1; 0.33; 1) for example.
I want to know if I can make a forecast of 'sp500' series, I can just make fracdiff series to forecat. because there is no function fracdiff(x) in eviews 8.
you understood me, is there a solution.

[EViews Glenn]

I'm not sure I understand the question. The fracdiff add-in will compute the fractional difference of a series (where the difference parameter can take non-integer values).

[ecofin]

thanks for your reply
you can improve d(x,n) dlog(x,n) when 'n' take the real or natural numbers, or create a new Time Series Function such as fracdiff(x,n)

best regards

[EViews Glenn]

Thanks for the suggestion. I just wanted to make certain that you understood that in the interim you can use the add-in to perform this operation.

[ecofin]

thank's for your reply.