Higher-order improvements of the sieve bootstrap for fractionally integrated processes

DOI10.1016/j.jeconom.2015.03.045zbMath1337.62278arXiv1311.0096OpenAlexW2009935678MaRDI QIDQ2354860

Simone D. Grose, Gael M. Martin, D. S. Poskitt

Publication date: 27 July 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0096

zbMATH Keywords

long memoryEdgeworth expansionsieve bootstrapARFIMAsampling distributionbootstrap-based inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Related Items

Unnamed Item, Confidence intervals with higher accuracy for short and long-memory linear processes, BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP, Representation theorems in finite prediction, with applications, Saddlepoint approximations for short and long memory time series: a frequency domain approach, A Generalised Fractional Differencing Bootstrap for Long Memory Processes

Uses Software

• longmemo

Cites Work

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