Hi Basil,
Use R programmability extension - there is a package fracdiff (
http://rss.acs.unt.edu/Rdoc/library/fracdiff/html/00Index.html) for R with functions fdGPH (Porter-Hudak) and fdSperio (Sperio). You can call it from SPSS with your current data.
Jan
-----Original Message-----
From: SPSSX(r) Discussion [mailto:
[hidden email]] On Behalf Of Basil LOH
Sent: Monday, March 31, 2008 6:12 AM
To:
[hidden email]
Subject: ARFIMA (Auto Regressive Fractionally Integrated Moving Average Models)
Hi there,
Does anyone have a script to do ARFIMA in SPSS?
Are there any free software out there that does ARFIMA?
Regards
Basil
=====================
To manage your subscription to SPSSX-L, send a message to
[hidden email] (not to SPSSX-L), with no body text except the command. To leave the list, send the command SIGNOFF SPSSX-L For a list of commands to manage subscriptions, send the command INFO REFCARD
_____
Tato zpráva a všechny připojené soubory jsou důvěrné a určené výlučně adresátovi(-ům). Jestliže nejste oprávněným adresátem, je zakázáno jakékoliv zveřejňování, zprostředkování nebo jiné použití těchto informací. Jestliže jste tento mail dostali neoprávněně, prosím, uvědomte odesilatele a smažte zprávu i přiložené soubory. Odesilatel nezodpovídá za jakékoliv chyby nebo opomenutí způsobené tímto přenosem.
This message and any attached files are confidential and intended solely for the addressee(s). Any publication, transmission or other use of the information by a person or entity other than the intended addressee is prohibited. If you receive this in error please contact the sender and delete the message as well as all attached documents. The sender does not accept liability for any errors or omissions as a result of the transmission.
-.- --
=====================
To manage your subscription to SPSSX-L, send a message to
[hidden email] (not to SPSSX-L), with no body text except the
command. To leave the list, send the command
SIGNOFF SPSSX-L
For a list of commands to manage subscriptions, send the command
INFO REFCARD
Locked
