Bootstrapping long memory tests: some Monte Carlo results
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Cites work
- A critical look at Lo's modified \(R/S\) statistic.
- A nonparametric plug-in rule for selecting optimal block lengths for block bootstrap methods
- A Nonparametric Test for I(0)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An alternative bootstrap to moving blocks for time series regression models
- Bilateral bootstrap tests for long memory: an application to the Silver market
- Bootstrap methods: another look at the jackknife
- Bootstraps for time series
- Efficient Tests of Nonstationary Hypotheses
- Estimating the dimension of a model
- Gaussian semiparametric estimation of long range dependence
- scientific article; zbMATH DE number 4102338 (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?)
- LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- Long memory processes and fractional integration in econometrics
- On blocking rules for the bootstrap with dependent data
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- Rescaled variance and related tests for long memory in volatility and levels
- Semiparametric analysis of long-memory time series
- TESTING FOR LONG MEMORY
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests of long memory: a bootstrap approach
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The jackknife and the bootstrap for general stationary observations
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- The power of bootstrap and asymptotic tests
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
Cited in
(18)- Tests of random walk: A comparison of bootstrap approaches
- Bilateral bootstrap tests for long memory: an application to the Silver market
- A bootstrap approximation for the distribution of the local Whittle estimator
- A test of the long memory hypothesis based on self-similarity
- Note on bandwidth selection in testing for long range dependence.
- Rescaled variance and related tests for long memory in volatility and levels
- Bootstrapping the log-periodogram regression
- Wild bootstrapping variance ratio tests
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Higher-order improvements of the sieve bootstrap for fractionally integrated processes
- Tests of long memory: a bootstrap approach
- Bootstrap assisted specification tests for the ARFIMA model
- Evaluating the GPH estimator via bootstrap technique
- scientific article; zbMATH DE number 51142 (Why is no real title available?)
- R/S-bootstrapping test for fractional integration
- A generalised fractional differencing bootstrap for long memory processes
- Bootstrap long memory processes in the frequency domain
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