Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

DOI10.1016/J.JECONOM.2005.06.010MaRDI QIDQ275259zbMATH OpenOpenAlexFDO

Authors Offer Lieberman, Vadim Marmer, Donald W. K. Andrews

Publication date 25 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.06.010

zbMATH Keywords

asymptoticsparametric bootstrapconfidence intervalsEdgeworth expansionGaussian processlong memorymaximum likelihood estimator\(t\) statisticdelta methodWhittle likelihood

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

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Cites work

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• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
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• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• The bootstrap and Edgeworth expansion
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
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Cited in

(17)

• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• On the use of the cumulant generating function for inference on time series
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Bootstrap approaches for estimation and confidence intervals of long memory processes
• Bootstrap tests for fractional integration and cointegration: a comparison study
• Frequency domain local bootstrap in short and long memory time series
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
• A bootstrap approximation for the distribution of the local Whittle estimator
• Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
• Combining bootstrap methods: a Monte Carlo experiment
• Bootstrap testing for discontinuities under long-range dependence
• Higher-order improvements of the parametric bootstrap for Markov processes
• Expansions for approximate maximum likelihood estimators of the fractional difference parameter
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes
• Properties of a block bootstrap under long-range dependence

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Uses Software

• longmemo

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