Bootstrap assisted specification tests for the ARFIMA model
DOI10.1017/S0266466610000642zbMATH Open1226.62076OpenAlexW2165852644MaRDI QIDQ3100982FDOQ3100982
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
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Cites Work
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Nonparametric model checks for time series
- Distribution-free specification tests of conditional models
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Inference on the Quantile Regression Process
- The bootstrap and Edgeworth expansion
- Distribution free goodness-of-fit tests for linear processes
- Bootstrapping general empirical measures
- On a measure of lack of fit in time series models
- Consistent Testing for Serial Correlation of Unknown Form
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Efficient Tests of Nonstationary Hypotheses
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Long memory relationships and the aggregation of dynamic models
- An alternative bootstrap to moving blocks for time series regression models
- Bootstrap specification tests for linear covariance stationary processes
- An exponential model for the spectrum of a scalar time series
- Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
- Goodness of fit tests for spectral distributions
- Goodness of fit for lattice processes
- Asymptotic expansions for bivariate von Mises functionals
- Expansions for von Mises functionals
Cited In (8)
- A bootstrap test for jumps in financial economics
- The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration
- ARMAX model specification testing, with an application to unemployment in the Netherlands
- SPECIFICATION TESTS FOR LATTICE PROCESSES
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Fitting a two phase threshold multiplicative error model
- SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
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