Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries

We review the literature on long memory ARFIMA and GARMA models and introduce a new efficient estimator for GARMA models, which we show to be robust. Next we conduct a Monte Carlo study to demonstate the power of the Dickie-Fuller test when the data are generated from a stationary GARMA process. We conclude with a brief discussion of cointegration in the context of GARMA models with an application to international interest rates.