BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL

DOI10.1017/S0266466610000642zbMath1226.62076MaRDI QIDQ3100982

Carlos Velasco, Miguel A. Delgado, Javier Hidalgo

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G22: Fractional processes, including fractional Brownian motion

62M15: Inference from stochastic processes and spectral analysis

62F40: Bootstrap, jackknife and other resampling methods

65C05: Monte Carlo methods

Related Items

SPECIFICATION TESTS FOR LATTICE PROCESSES, Fitting a two phase threshold multiplicative error model

Uses Software

• longmemo

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
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