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Bootstrapping the log-periodogram regression

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  • Arteche, J.
  • Orbe, J.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 86 (2005)
Issue (Month): 1 (January)
Pages: 79-85

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Handle: RePEc:eee:ecolet:v:86:y:2005:i:1:p:79-85

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Donald W.K. Andrews & Offer Lieberman, 2002. "Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes," Cowles Foundation Discussion Papers 1378, Cowles Foundation for Research in Economics, Yale University.
  2. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
  3. Andersson, Michael K. & Gredenhoff, Mikael P., 1997. "Bootstrap Testing for Fractional Integration," Working Paper Series in Economics and Finance 188, Stockholm School of Economics.
  4. Francis X. Diebold & Glenn D. Rudebusch, 1989. "Is consumption too smooth? Long memory and the Deaton paradox," Finance and Economics Discussion Series 57, Board of Governors of the Federal Reserve System (U.S.).
  5. Andersson, Michael K. & Gredenhoff, Mikael P., 1998. "Robust Testing for Fractional Integration Using the Bootstrap," Working Paper Series in Economics and Finance 218, Stockholm School of Economics.
  6. Joseph G. Haubrich, 1990. "Consumption and fractional differencing: old and new anomalies," Working Paper 9010, Federal Reserve Bank of Cleveland.
  7. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  8. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  9. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  10. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
  11. Andersson, Michael K. & Gredenhoff, Mikael P., 2000. "Improving Fractional Integration Tests With Bootstrap Distributions," Working Paper 74, National Institute of Economic Research.
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Cited by:
  1. repec:rdg:wpaper:em-dp2013-02 is not listed on IDEAS
  2. Vanessa Berenguer Rico & Jesus Gonzalo, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," Economics Working Papers we1115, Universidad Carlos III, Departamento de Economía.
  3. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
  4. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
  5. Gerolimetto, Margherita, 2006. "Frequency domain bootstrap for the fractional cointegration regression," Economics Letters, Elsevier, vol. 91(3), pages 389-394, June.
  6. Saeed Heravi & Kerry Patterson, 2013. "Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators," Economics & Management Discussion Papers em-dp2013-02, Henley Business School, Reading University.
  7. Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.
  8. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.

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