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

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.Long memory, Periodogram regression, Smoothed periodogram regression, Block size.