  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 L.,
Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit
roots for a wide class of dependent errors. Econometric Theory 21, 989--1029].
The two samples have the same length and can be mutually independent or
dependent. In the latter case, the test statistic is modified to make it
asymptotically free of the long-run correlation coefficient between the
samples. To diminish the sensitivity of the test on the choice of the bandwidth
parameter, an adaptive formula for the bandwidth parameter is derived using the
asymptotic expansion in [Abadir, K., Distaso, W., Giraitis, L., 2009. Two
estimators of the long-run variance: Beyond short memory. Journal of
Econometrics 150, 56--70]. A simulation study shows that the above choice of
bandwidth leads to a good size of our comparison test for most values of
fractional and ARMA parameters of the simulated series.
