Using the bootstrap for finite sample confidence intervals of the log periodogram regression
DOI10.1016/J.CSDA.2008.04.034zbMATH Open1453.62032OpenAlexW2088938970MaRDI QIDQ961387FDOQ961387
Authors: Josu Arteche, Jesus Orbe 
Publication date: 30 March 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2008.04.034
Recommendations
- Bootstrapping the log-periodogram regression
- Bootstrap approaches for estimation and confidence intervals of long memory processes
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- Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)
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- Bootstrapping the log-periodogram regression
Cited In (9)
- Bootstrapping long memory tests: some Monte Carlo results
- Graphical methods for investigating the finite-sample properties of confidence regions
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
- A bootstrap approximation for the distribution of the local Whittle estimator
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- Bootstrap-based bandwidth choice for log-periodogram regression
- Bootstrapping the log-periodogram regression
- Confidence intervals for long memory regressions
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