Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
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Publication:2347732
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Cites work
- A Fractional Dickey-Fuller Test for Unit Roots
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- Asymptotic Statistics
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap determination of the co-integration rank in heteroskedastic VAR models
- Bootstrap tests: how many bootstraps?
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Cointegrating rank selection in models with time-varying variance
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dependent central limit theorems and invariance principles
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Efficient Tests of Nonstationary Hypotheses
- Efficient Wald Tests for Fractional Unit Roots
- Heteroskedastic time series with a unit root
- Heteroskedasticity-robust testing for a fractional unit root
- Inference on the cointegration rank in fractionally integrated processes.
- Information criteria for selecting possibly misspecified parametric models
- LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Likelihood inference for a nonstationary fractional autoregressive model
- Modelling and measuring price discovery in commodity markets
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- Optimal Fractional Dickey–Fuller tests
- Sample Splitting and Threshold Estimation
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Testing Statistical Hypotheses
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing for unit roots in time series models with non-stationary volatility
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- The asymptotic theory of linear time-series models
- The wild bootstrap, tamed at last
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- Uniform Convergence in Probability and Stochastic Equicontinuity
Cited in
(9)- Econometric analysis of financial derivatives: an overview
- R/S-bootstrapping test for fractional integration
- Adaptive long memory testing under heteroskedasticity
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap
- Inference on the long-memory properties of time series with non-stationary volatility
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