folks, does anyone know if the SEMIFAR model has been implemented in R? i see that there's a S-FinMetrics function SEMIFAR() that does the job, but I have no access to that software. essentially, this semiparametric fractional autoregressive model introduces a deterministic trend to the FARIMA(p,d,0) model (which, as i understand it, takes care of the random trend and short and long memory). if not, are there any suggestions for how to estimate the model: phi(L) (1 - L)^d [y(t)(1 - L) - g(t/T)] = epsilon(t) for t = 1, ...., T, and where -0.5 < d < 0.5, phi(L) is the lag polynomial, and g() is a smooth trend function on [0, 1]. what would be a good nonparametric kernel estimator of g()? i'm new at this so any pointers would be helpful. thanks, murali
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
