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

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.