BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL

DOI10.1017/S0266466610000642zbMath1226.62076OpenAlexW2165852644MaRDI QIDQ3100982

Carlos Velasco, Miguel A. Delgado, Javier Hidalgo

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000642

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (2)

Fitting a two phase threshold multiplicative error model ⋮ SPECIFICATION TESTS FOR LATTICE PROCESSES

Uses Software

• longmemo

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Bootstrap specification tests for linear covariance stationary processes
• Distribution-free specification tests of conditional models
• Goodness of fit tests for spectral distributions
• Distribution free goodness-of-fit tests for linear processes
• Bootstrapping general empirical measures
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• An alternative bootstrap to moving blocks for time series regression models
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• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Goodness of fit for lattice processes
• Expansions for von Mises functionals
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• On a measure of lack of fit in time series models
• Asymptotic expansions for bivariate von Mises functionals
• Efficient Tests of Nonstationary Hypotheses
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• Consistent Testing for Serial Correlation of Unknown Form
• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Inference on the Quantile Regression Process
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• An exponential model for the spectrum of a scalar time series
• The bootstrap and Edgeworth expansion

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