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

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.

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Year of publication:	1999-09
Authors:	Maharaj, E.A.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Long memory \| Periodogram regression \| Smoothed periodogram regression \| Block size

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 11/99 18 pages
Classification:	C12 - Hypothesis Testing ; C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005149097