We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in Giraitis et al. [L. Giraitis, R. Leipus, A. Philippe, A test for stationarity versus trends and unit roots for a wide class of dependent errors,...

In Giraitis, Robinson, and Samarov (1997), we have shown that the optimal rate for memory parameter estimators in semiparametric long memory models with degree of "local smoothness" [beta] is n-r([beta]), r([beta])=[beta]/(2[beta]+1), and that a log-periodogram regression estimator (a modified...