Modeling of fractionally integrated time series

I use the time series with different levels of integration in a system in the impulse-response model. I was previously utilizing the order of Integration (0) and simply using informative criteria to select the appropriate quantity of lags for each series. Could you please suggest how to best procede methodologically with these type of models using R?

Referred here by Forecasting: Principles and Practice, by Rob J Hyndman and George Athanasopoulos

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