The RATS Software Forum

Are there any procedures which can estimate ARFIMA models where the time series differencing is in the range 0<d<1?

Yes, essentially. I have modeled a series that contains both AR and MA terms. Now I need to pre whiten the dependent variable (DV) as I want to estimate a transfer function after cross correlating the two series. I can use the FILTER instruction to pre whiten the DV for the AR term(s) but not for th...

Hello.

I'm using RATs to model several stochastic regressors and need a way of pre whitening MA terms. The FILTER instruction only supports AR and distributed lag options for equations. Does anyone know of any user procedures that support MA filtering using RATS?

Thanks.

Scott