Tests of long memory: a bootstrap approach

DOI10.1007/S10614-005-6277-6zbMATH Open1075.91031OpenAlexW1976260521MaRDI QIDQ2575452FDOQ2575452

Pilar Grau-Carles

Publication date: 9 December 2005

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-005-6277-6

zbMATH Keywords

bootstraptime serieslong-memory tests

Mathematics Subject Classification ID

Economic time series analysis (91B84) Memory and learning in psychology (91E40)

Cites Work

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• Bootstrap methods: another look at the jackknife
• Fractional differencing
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Log-periodogram regression of time series with long range dependence
• Fractional ARIMA with stable innovations
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Long-Term Memory in Stock Market Prices
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
• Note on bandwidth selection in testing for long range dependence.
• A critical look at Lo's modified \(R/S\) statistic.

Cited In (9)

• Tests of random walk: A comparison of bootstrap approaches
• Bootstrapping long memory tests: some Monte Carlo results
• Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
• STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS
• MINIMIZING PERIODIC TRENDS BY APPLYING LAPLACE TRANSFORM
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Voter interacting systems applied to Chinese stock markets
• Testing for long-range dependence in world stock markets
• A multivariate test against spurious long memory

Uses Software

• bootstrap
• bootlib

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