Tests and con dence intervals for the location parameter in orthogonal FEXP models

Con dence 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 di erencing parameter d, the distribution of d̂ plays a major role. An exact closed form expresssion for the asymptotic variance of d̂ 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 d̂ does not depend on p: Tables of quantiles of the test statistic are given for both model classes.,