A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap
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References listed on IDEAS
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
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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
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