Fortran Program for Maximum Likelihood estimation of
Fractionally Integrated ARMA (ARFIMA) models
Here is the FORTRAN program that I mentioned in footnote 2
of "Maximum likelihood estimation of stationary univariate fractionally
integrated time series model" Journal of Econometrics, vol 53, 1992. There
are seven files.
- readme This
explain the files and the libraries that must be linked with the code to
get the output.
- gqstfrac.for This
is the FORTRAN program. Note that the comments at the top of the file
explain the libraries that must be linked with the code to get the output.
- max.dat The
FORTRAN program reads the data from this file.
- max.txt The
FORTRAN program writes the output from the numerical optimization
subroutine to this file
- tab.dat The
FORTRAN program writes the parameter values and t-statistics to this file.
- select.dat The
FORTRAN program writes the model selection criteria out to this file.
- gnp82.dat This
file contains the raw real GNP data.