Using the bootstrap for finite sample confidence intervals of the log periodogram regression
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Recommendations
- Bootstrapping the log-periodogram regression
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Bootstrap-based bandwidth choice for log-periodogram regression
- Confidence intervals for long memory regressions
- Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
Cites work
- scientific article; zbMATH DE number 3782216 (Why is no real title available?)
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 854585 (Why is no real title available?)
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- A frequency domain bootstrap for ratio statistics in time series analysis
- Adaptive semiparametric estimation of the memory parameter.
- An alternative bootstrap to moving blocks for time series regression models
- Approximate bias correction in econometrics
- BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
- Better Bootstrap Confidence Intervals
- Bootstrap methods: another look at the jackknife
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- Bootstrapping the log-periodogram regression
- Edgeworth expansions for semiparametric Whittle estimation of long memory.
- Estimating Long Memory in Volatility
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Local Whittle estimation in nonstationary and unit root cases.
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- Log-periodogram regression of time series with long range dependence
- Non-stationary log-periodogram regression
- Nonlinear log-periodogram regression for perturbed fractional processes
- On bootstrapping kernel spectral estimates
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Semiparametric estimation in perturbed long memory series
- Semiparametric inference in seasonal and cyclical long memory processes
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- The Local Bootstrap for Periodogram Statistics
- The jackknife and bootstrap
- The jackknife and the bootstrap for general stationary observations
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Theoretical comparisons of block bootstrap methods
- Unit root 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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