Bootstrapping long memory tests: some Monte Carlo results (Q961426)

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English	Bootstrapping long memory tests: some Monte Carlo results	scientific article

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scholarly article

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Bootstrapping long memory tests: some Monte Carlo results (English)

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Computational Statistics and Data Analysis

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publication date

30 March 2010

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full work available at URL

http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/BootstrappingTests.pdf

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

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Using the bootstrap for finite sample confidence intervals of the log periodogram regression

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Long memory processes and fractional integration in econometrics

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Bootstraps for time series

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The power of bootstrap and asymptotic tests

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Bilateral bootstrap tests for long memory: an application to the Silver market

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Bootstrap methods: another look at the jackknife

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Rescaled variance and related tests for long memory in volatility and levels

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Tests of long memory: a bootstrap approach

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On blocking rules for the bootstrap with dependent data

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TESTING FOR LONG MEMORY

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An alternative bootstrap to moving blocks for time series regression models

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The jackknife and the bootstrap for general stationary observations

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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A nonparametric plug-in rule for selecting optimal block lengths for block bootstrap methods

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On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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A Nonparametric Test for I(0)

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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Efficient Tests of Nonstationary Hypotheses

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Semiparametric analysis of long-memory time series

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Gaussian semiparametric estimation of long range dependence

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LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS

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Estimating the dimension of a model

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Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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A critical look at Lo's modified \(R/S\) statistic.

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CSDA.2008.07.040

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Sitelinks

Mathematics(1 entry)

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