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Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

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  • Silva, E.M.
  • Franco, G.C.
  • Reisen, V.A.
  • Cruz, F.R.B.

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  • Silva, E.M. & Franco, G.C. & Reisen, V.A. & Cruz, F.R.B., 2006. "Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1002-1011, November.
    • Handle: RePEc:eee:csdana:v:51:y:2006:i:2:p:1002-1011
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    References listed on IDEAS

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    1. Jeremy Smith & Nick Taylor & Sanjay Yadav, 1997. "Comparing the bias and misspecification in ARFIMA models," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 507-527, September.
    2. Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
    3. Efstathios Paparoditis & Dimitris N. Politis, 1999. "The Local Bootstrap for Periodogram Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(2), pages 193-222, March.
    4. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
    5. Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
    6. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    7. Franco, Glaura C & Souza, Reinaldo C, 2002. "A Comparison of Methods for Bootstrapping in the Local Level Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(1), pages 27-38, January.
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    Cited by:

    1. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    2. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
    3. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    4. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    5. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    6. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    7. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    8. Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
    9. Murphy, A. & Izzeldin, M., 2009. "Bootstrapping long memory tests: Some Monte Carlo results," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2325-2334, April.
    10. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

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