Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85191
Authors: 
Beran, Jan
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/21
Abstract: 
Confidence intervals and tests for the location parameter are considered for time series generated by FEXP models. Since these tests mainly depend on the unknown fractional differencing parameter d, the distribution of d plays a major role. An exact closed form expression for the asymptotic variance of d is given for FEXP models with cosine functions. It is shown that the variance increases linearily with the order p of the model. An alternative FEXP model with orthogonal components is proposed for which the asymptotic variance of d does not depend on p. Tables of quantiles of the test statistic are given for both model classes.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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