去下一个oxmetrics，里面有介绍怎么用这个软件做ARFIMA。不过要花一段时间好好看。

在IML中用
FARMACOV Call

computes the autocovariance function for an ARFIMA(p,d,q) process


CALL FARMACOV( cov, d <, phi, theta, sigma, p, q, lag>);

FARMAFIT Call

estimate the parameters of an ARFIMA(p,d,q) model


CALL FARMAFIT( d, phi, theta, sigma, series <, p, q, opt>);

FARMALIK Call

computes the log-likelihood function of an ARFIMA(p,d,q) model


CALL FARMALIK( lnl, series, d <, phi, theta, sigma, p, q, opt>);

FARMASIM Call

generates an ARFIMA(p,d,q) process


CALL FARMASIM( series, d <, phi, theta, mu, sigma, n, p, q, initial, seed>);

详细可参考sashelp