Bootstrap tests for fractional integration and cointegration: a comparison study
DOI10.1016/J.MATCOM.2012.11.011zbMATH Open1490.62244OpenAlexW2020662186MaRDI QIDQ2227331FDOQ2227331
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
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Cites Work
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- Title not available (Why is that?)
- Title not available (Why is that?)
- Fractional differencing
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Unit root log periodogram regression
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Asymptotic Properties of Residual Based Tests for Cointegration
- 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
- On the power of unit root tests against fractional alternatives
- Residual-based tests for factorial cointegration: A Monte Carlo study
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- The power of residual-based tests for cointegration when residuals are fractionally integrated
- Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
- Analysis of integrated and co-integrated time series with R
- Fractional integration and the augmented Dickey--Fuller test
- Hypothesis Testing in ARIMA(p, 1, q) Models
- A test for fractional cointegration using the sieve bootstrap
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
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
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