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

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  • Maharaj, E.A.
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    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.

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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/1999/wp11-99.pdf
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    Bibliographic Info

    Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 11/99.

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    Length: 18 pages
    Date of creation: Sep 1999
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    Handle: RePEc:msh:ebswps:1999-11

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    Related research

    Keywords: Long memory; Periodogram regression; Smoothed periodogram regression; Block size.;

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    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
    3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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