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

  • Authors:

  • L.A Gil-Alana

  • Affiliations:

  • Facultad de Ciencias Economicas, Universidad de Navarra Edificio Biblioteca, Entrada Este, 31080 Pamplona, Spain

  • Venue:
  • Mathematical and Computer Modelling: An International Journal
  • Year:
  • 2004

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Abstract

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.