Bootstrapping the log-periodogram regression

DOI10.1016/j.econlet.2004.06.011zbMath1255.62110OpenAlexW2020852000MaRDI 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

bootstraplong memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (6)

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

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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