Bootstrap assisted specification tests for the ARFIMA model

DOI10.1017/S0266466610000642MaRDI QIDQ3100982zbMATH OpenOpenAlexFDO

Authors Carlos I. Hoyos Velasco, Miguel Delgado, Javier Hidalgo

Publication date 22 November 2011

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466610000642

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15)

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• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• An alternative bootstrap to moving blocks for time series regression models
• An exponential model for the spectrum of a scalar time series
• Asymptotic expansions for bivariate von Mises functionals
• Bootstrap specification tests for linear covariance stationary processes
• Bootstrapping general empirical measures
• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution free goodness-of-fit tests for linear processes
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Distribution-free specification tests of conditional models
• Efficient Tests of Nonstationary Hypotheses
• Expansions for von Mises functionals
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• Goodness of fit for lattice processes
• Goodness of fit tests for spectral distributions
• Inference on the Quantile Regression Process
• Log-periodogram regression of time series with long range dependence
• Long memory relationships and the aggregation of dynamic models
• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Nonparametric model checks for time series
• On a measure of lack of fit in time series models
• The bootstrap and Edgeworth expansion
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Cited in

(8)

• ARMAX model specification testing, with an application to unemployment in the Netherlands
• The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration
• SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
• Fitting a two phase threshold multiplicative error model
• A bootstrap test for jumps in financial economics
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
• Specification tests for lattice processes

Describes a project that uses

Uses Software

• longmemo

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