ARFIMA(0,d,0) model. Following Banerjee and Magnus (1999) we investigate the sensitivity of the standard OLS slope (B …_{L}) and sensitivity of variance estimates (D_{L}) of the linear model near =0. We also investigate the behavior of B_{L} and D …-Watson statistic (DW or D1) was related to the sensitivity measure for the OLS variance estimate against ARMA(p,q) errors ( Banerjee …