| Summary: | In this work two tests based on the bootstrap technique are considered to test the
presence of unit root and relations of cointegration in long memory processes. The proposed
tests use the GPH estimator considered by Geweke and Porter-Hudak (1983) for estimating
the memory parameter d of ARFIMA(p,d,q) models. Monte Carlo simulations have been used
to compare the performances of the suggested tests with other widely used tests in the
literature. For unit root, the ADF test (Dickey and Fuller, 1981) and the test based on the
asymptotic distribution of GPH have been considered. In the cointegration evaluation, the
Engle and Granger test (1987), the Johansen procedure (1990) and the test based on the
asymptotic distribution of the GPH have been used. The results show that the bootstrap
technique is a good alternative for the construction of hypothesis tests on the parameter of
long memory models. In general, the suggested tests presented satisfactory results if
compared to the usually applied tests in econometrical studies.
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