Bootstrapping the log-periodogram regression

DOI10.1016/j.econlet.2004.06.011zbMath1255.62110MaRDI QIDQ1927723

Jesus Orbe, Josu Arteche

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.06.011

zbMATH Keywords

bootstrap; long memory

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G09: Nonparametric statistical resampling methods

Related Items

Bootstrap testing for discontinuities under long-range dependence, Using the bootstrap for finite sample confidence intervals of the log periodogram regression, Frequency domain bootstrap for the fractional cointegration regression, Summability of stochastic processes -- a generalization of integration for non-linear processes, Bootstrap approaches for estimation and confidence intervals of long memory processes, Bootstrap-based bandwidth choice for log-periodogram regression

Uses Software

• bootstrap

Cites Work

• Non-stationary log-periodogram regression
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Log-periodogram regression of time series with long range dependence
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• Better Bootstrap Confidence Intervals
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
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