Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes
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DOI: 10.1016/j.physa.2006.08.027
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References listed on IDEAS
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- Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
- Yixun Xing & Wayne A. Woodward, 2021. "R-Squared-Bootstrapping for Gegenbauer-Type Long Memory," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 773-790, February.
- Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
- V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
- 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.
- Anthony Murphy & M Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 574547, Lancaster University Management School, Economics Department.
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Keywords
Semi-parametric and parametric procedures; Fractionally integrated ARMA process; Bootstrap;All these keywords.
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