Bootstrap tests for fractional integration and cointegration: a comparison study

DOI10.1016/J.MATCOM.2012.11.011MaRDI QIDQ2227331zbMATH OpenOpenAlexFDO

Authors Valdério Anselmo Reisen, Flávio Antonio Alves, Glaura C. Franco

Publication date 15 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2012.11.011

zbMATH Keywords

bootstrapARFIMA modelsemiparametric estimatorclassical unit root testsEG and Johansen tests

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
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• Tests of long memory: a bootstrap approach

Cites work

• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A test for fractional cointegration using the sieve bootstrap
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Analysis of integrated and co-integrated time series with R
• Asymptotic Properties of Residual Based Tests for Cointegration
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fractional differencing
• Fractional integration and the augmented Dickey--Fuller test
• Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
• Hypothesis Testing in ARIMA(p, 1, q) Models
• On the power of unit root tests against fractional alternatives
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Residual-based tests for factorial cointegration: A Monte Carlo study
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a unit root in time series regression
• 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?
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Unit root log periodogram regression

Cited in

(5)

• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Bilateral bootstrap tests for long memory: an application to the Silver market
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• A test for fractional cointegration using the sieve bootstrap
• A joint test of fractional integration and structural breaks at a known period of time

Describes a project that uses

Uses Software

• boot

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