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.
|Date of creation:||Sep 1999|
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- Yin-Wong Cheung & Francis X. Diebold, 1990.
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Discussion Paper / Institute for Empirical Macroeconomics
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- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
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8905, Michigan State - Econometrics and Economic Theory.
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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
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