IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v51y2006i2p1002-1011.html
   My bibliography  Save this article

Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

Author

Listed:
  • Silva, E.M.
  • Franco, G.C.
  • Reisen, V.A.
  • Cruz, F.R.B.

Abstract

No abstract is available for this item.

Suggested Citation

  • Silva, E.M. & Franco, G.C. & Reisen, V.A. & Cruz, F.R.B., 2006. "Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1002-1011, November.
    • Handle: RePEc:eee:csdana:v:51:y:2006:i:2:p:1002-1011
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(05)00274-4
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Efstathios Paparoditis & Dimitris N. Politis, 1999. "The Local Bootstrap for Periodogram Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(2), pages 193-222, March.
    2. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
    3. Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
    4. Franco, Glaura C & Souza, Reinaldo C, 2002. "A Comparison of Methods for Bootstrapping in the Local Level Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(1), pages 27-38, January.
    5. Jeremy Smith & Nick Taylor & Sanjay Yadav, 1997. "Comparing the bias and misspecification in ARFIMA models," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 507-527, September.
    6. Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
    7. Valderio A. Reisen, 1994. "ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(3), pages 335-350, May.
    8. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    2. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
    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. repec:ehu:biltok:48980 is not listed on IDEAS
    5. repec:ehu:biltok:5585 is not listed on IDEAS
    6. 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.
    7. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    8. Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
    9. Murphy, A. & Izzeldin, M., 2009. "Bootstrapping long memory tests: Some Monte Carlo results," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2325-2334, April.
    10. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Leïla Nouira & Mohamed Boutahar & Vêlayoudom Marimoutou, 2009. "The effect of tapering on the semiparametric estimators for nonstationary long memory processes," Statistical Papers, Springer, vol. 50(2), pages 225-248, March.
    2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    3. Leonardo Souza & Jeremy Smith & Reinaldo Souza, 2006. "Convex combinations of long memory estimates from different sampling rates," Computational Statistics, Springer, vol. 21(3), pages 399-413, December.
    4. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
    5. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
    6. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    7. Erhard Reschenhofer & Manveer K. Mangat, 2021. "Fast computation and practical use of amplitudes at non-Fourier frequencies," Computational Statistics, Springer, vol. 36(3), pages 1755-1773, September.
    8. Ørregaard Nielsen, Morten, 2004. "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 145-166, January.
    9. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach," CESifo Working Paper Series 8674, CESifo.
    10. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
    11. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
    12. Manveer Kaur Mangat & Erhard Reschenhofer, 2020. "Frequency-Domain Evidence for Climate Change," Econometrics, MDPI, vol. 8(3), pages 1-15, July.
    13. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    14. Maharaj, E.A., 1999. "A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap," Monash Econometrics and Business Statistics Working Papers 11/99, Monash University, Department of Econometrics and Business Statistics.
    15. Boutahar, Mohamed & Mootamri, Imène & Péguin-Feissolle, Anne, 2009. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Economic Modelling, Elsevier, vol. 26(2), pages 335-341, March.
    16. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, Department of Economics and Business Economics, Aarhus University.
    17. Ding, Liang & Luo, Yi & Lin, Yan & Huang, Yirong, 2021. "Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    18. Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July.
    19. Erhard Reschenhofer & Manveer K. Mangat, 2020. "Reducing the Bias of the Smoothed Log Periodogram Regression for Financial High-Frequency Data," Econometrics, MDPI, vol. 8(4), pages 1-15, October.
    20. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2024. "Persistence and long memory in monetary policy spreads," Applied Economics, Taylor & Francis Journals, vol. 56(20), pages 2422-2433, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:51:y:2006:i:2:p:1002-1011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.