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> ## From: VINOD@FORDHAM.EDU
> ## To: maechler@stat.math.ethz.ch
> ## X-Spam-Level: *
> ## Subject: fracdiff in R  does not work for gnp series  "insufficient workspace"
> ## Date: Sun, 15 May 2005 13:24:46 -0400
> 
> ## Dear Martin Maechler
> 
> ## I teach econometrics at Fordham.  For some reason the fracdiff
> ## does not work for the basic gnp series.
> 
> library(fracdiff)
> 
> if(FALSE) {
+     ##MM library(urca)
+     ##MM data(npext)
+     data(npext, package = "urca")       # Nelson Plosser data
+     ## "bad practice": attach(npext)
+     realgnp2 <- npext[50:129, "realgnp"] # to exclude missing data
+ } else { ## keep test independent:
+     realgnp2 <-
+         c(4.7604631, 4.7883247, 4.8138091, 4.8690717, 4.8782461, 4.8331023,
+           4.8243057, 4.9000761, 4.9067552, 5.0225639, 4.9863426, 4.9416424,
+           4.8504665, 4.9972123, 5.1113852, 5.1089712, 5.1896179, 5.2470241,
+           5.2459709, 5.2517497, 5.3161573, 5.2122147, 5.1316723, 4.9712012,
+           4.9522997, 5.0388988, 5.1328529, 5.2626902, 5.3141907, 5.2621719,
+           5.3442463, 5.4258307, 5.5748121, 5.6964221, 5.8203796, 5.8897086,
+           5.872681, 5.7449244, 5.7362497, 5.7798172, 5.7810521, 5.8729625,
+           5.9490788, 5.9791389, 6.0229632, 6.0088132, 6.0822189, 6.1005431,
+           6.1147878, 6.1032295, 6.1652077, 6.1897005, 6.2089924, 6.2724996,
+           6.3117348, 6.3649229, 6.4261648, 6.4893569, 6.5150089, 6.5604647,
+           6.5857578, 6.5792512, 6.6067, 6.6552832, 6.705961, 6.700553,
+           6.687906, 6.7356178, 6.781224, 6.8328012, 6.8572808, 6.8556192,
+           6.8747935, 6.8489768, 6.8840768, 6.9496707, 6.9826227, 7.0096668,
+           7.0455416, 7.0888837)
+ }
> 
> fr1 <-  fracdiff(realgnp2, nar = 0, nma = 0,  M = 100)
> 
> ## COMPUTER SAYS
> ## Error in switch(result$info, stop("insufficient workspace"), stop("error in
> ## gamma function"),  :
> ##         insufficient workspace
> 
> fr1

Call:
  fracdiff(x = realgnp2, nar = 0, nma = 0, M = 100) 

Coefficients:
        d 
0.4977438 
sigma[eps] = 0.185019 
a list with components:
 [1] "log.likelihood"  "n"               "msg"             "d"              
 [5] "ar"              "ma"              "covariance.dpq"  "fnormMin"       
 [9] "sigma"           "stderror.dpq"    "correlation.dpq" "h"              
[13] "d.tol"           "M"               "hessian.dpq"     "length.w"       
[17] "residuals"       "fitted"          "call"           
> 
> ## ...
> 
> ## Hrishikesh D. Vinod
> ## Professor of Economics, Fordham University
> ## E-Mail: Vinod@fordham.edu
> ## Web page:  http://www.fordham.edu/economics/vinod
> 
> summary(fr1)

Call:
  fracdiff(x = realgnp2, nar = 0, nma = 0, M = 100) 

Coefficients:
   Estimate Std. Error z value Pr(>|z|)    
d 4.977e-01  2.072e-07 2402593   <2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
sigma[eps] = 0.185019 
[d.tol = 0.0001221, M = 100, h = 2.078e-07]
Log likelihood: 18.72 ==> AIC = -33.44708 [2 deg.freedom]
> 
> proc.time()
   user  system elapsed 
   0.25    0.04    0.28