How to conclude significance of the parameters of the ARFIMA(p,d,q) process ?

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Fox 2018-5-16

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https://ww2.mathworks.cn/matlabcentral/answers/401103-how-to-conclude-significance-of-the-parameters-of-the-arfima-p-d-q-process

评论： lei zhang 2019-9-17

Dear everybody, I am using the ARFIMA(p,d,q) toolbox of György Inzelt 2011, which is in the file exchange. From the estimation, we get the parameters p,d,q and their standard errors. Does anybody of you know how I can conclude the significance of this parameters? Can I use a simple t-test like:

tstat=parameter/standard error

I am not quite sure if this is possible, because I am not sure about the asymptotic distribution of the parameters. However I have a very large sample size with 4124 observations. Furthermore the ARFIMA model is estimated using the whittle loglikelihood approach.