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The use of the bloomfield model as an approximation to ARMA processes in the context of fractional integration

✍ Scribed by L.A Gil-Alana

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 539 KB
Volume: 39
Category: Article
ISSN: 0895-7177
DOI: 10.1016/s0895-7177(04)90515-8

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✦ Synopsis

In this article, we propose the use of a model proposed by Bloomfield [1] as an approximation to the ARMA structure underlying the I(0) disturbances in the context of fractional integration. For this purpose, we use tests due to Robinson [2] and show, via Monte Carlo simulations, that the power properties of the tests are not much affected by the use of this nonparametric approach. A small empirical application is also carried out at the end of the article. (~) 2004 Elsevier Ltd. All rights reserved.

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