A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap

Elizabeth Maharaj ()

No 11/99, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we construct a test for the difference parameter d in the fractionally integrated autoregressive moving-average (ARFIMA) model. Obtaining estimates by smoothed spectral regression estimation method, we use the moving blocks bootstrap method to construct the test for d. The results of Monte Carlo studies show that this test is generally valid for certain block sizes, and for these block sizes, the test has reasonably good power.

Keywords: Long memory; Periodogram regression; Smoothed periodogram regression; Block size. (search for similar items in EconPapers)
JEL-codes: C10 C12 C20 C30 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1999-09
New Economics Papers: this item is included in nep-ets
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