Bootstrap Testing for Fractional Integration
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References listed on IDEAS
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Cited by:
- Pilar Grau-Carles, 2005. "Tests of Long Memory: A Bootstrap Approach," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 103-113, February.
- Pilar Grau-Carles, 2004. "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004 111, Society for Computational Economics.
- Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
More about this item
Keywords
Long-memory; ARFIMA; parametric resampling; small-sample; MonteCarlo simulation; size-correction;JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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