Invariance of the first difference in ARFIMA models (Q2463656)

The main goal of the paper is to analyze which estimation method for the fractional parameter is invariant to first-differencing when the model is described by an ARFIMA(p,d,q) process. The authors consider the performance of four estimation methods, belonging to parametric and semiparametric classes, for non-stationary ARFIMA models with main interest when \(d\in[0.5,1.5)\). The behaviour of the estimators is analyzed by Monte Carlo simulations. As an application, the Brasilian exchange rate series is considered.