A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap
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References listed on IDEAS
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More about this item
KeywordsLong memory; Periodogram regression; Smoothed periodogram regression; Block size.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2002-04-25 (Econometric Time Series)
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