Bootstrapping the log-periodogram regression
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- 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.
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- Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
- Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 2008-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- 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.
- Gerolimetto, Margherita, 2006. "Frequency domain bootstrap for the fractional cointegration regression," Economics Letters, Elsevier, vol. 91(3), pages 389-394, June.
- 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.
- Gonzalo, Jesús & Berenguer Rico, Vanessa, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
- 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.
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