Hi Jerry,
Read documentation in
http://www.doornik.com/download/arfima.pdf
and try fracest4.ox in
http://www.doornik.com/download/arfima104.zip
E.g. use
arfima.Select(X_VAR, { "Xvar", 0, 0 } );
Part of Database class, see also
http://www.doornik.com/ox/oxclass.html#Database::Select
Best,
Jia Geng wrote:
> Hi,
> I know ARFIMA model can be estimated in OX.ARFIMA.
> Anyone know how to estimate ARFIMAX which is an ARFIMA with explanatory
> variables in mean equation.
>
> Thanks,
>
> Jerry
--
dr. Marius Ooms mailto:[log in to unmask]
Editor Econometric Links The Econometrics Journal
http://econometriclinks.com
Department of Econometrics & Operations Research
Faculty of Economics & BA, VU University Amsterdam
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