/* Fractional difference(d) */
new; cls;
y=rndn(100,1);
d=0.4;
print y~fracdiff(y,d);



proc fracdiff(y,d);
   local n,nc,t,y1,x,l;
   n=rows(y);
   nc=cols(y);
   x=zeros(n,nc);
   t=seqa(1,1,n-1);
   y1=1|cumprodc((t-1-d)./t);
   l=1;
   do while l<=nc;
      x[.,l]=conv(y[.,l],y1,0,n);
      l=l+1;
   endo;
   retp(x);
endp;