FDIF Call :: SAS/IML(R) 12.1 User's Guide

CALL FDIF (out, series, d) ;

The FDIF subroutine computes a fractionally differenced process. The input arguments to the FDIF subroutine are as follows:

series: specifies a time series with length.
d: specifies a fractional differencing order. This argument is required; the value of should be in the open interval excluding zero.

The FDIF subroutine returns the following value:

As an example, consider an ARFIMA() process

$(1-0.5B)(1-B)^{0.3}y_ t= (1+0.1B){\epsilon }_ t$

Let $z_ t=(1-B)^{0.3}y_ t$ ; that is, follows an ARMA(1,1). The following statements compute the filtered series :

d = 0.3;
phi = 0.5;
theta = -0.1;
call farmasim(yt, d, phi, theta) n=10 seed=1234;
call fdif(zt, yt, d);
print zt;

Figure 23.117: A Fractionally Differenced Process