Bootstrap Testing for Fractional Integration
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References listed on IDEAS
- Horowitz, J.L., 1995. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Working Papers 95-10, University of Iowa, Department of Economics.
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- 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.
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More about this item
KeywordsLong-memory; ARFIMA; parametric resampling; small-sample; MonteCarlo simulation; size-correction;
- 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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