Tests of long memory: a bootstrap approach

DOI10.1007/S10614-005-6277-6zbMath1075.91031OpenAlexW1976260521MaRDI QIDQ2575452

Pilar Grau-Carles

Publication date: 9 December 2005

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-005-6277-6

zbMATH Keywords

bootstraptime serieslong-memory tests

Mathematics Subject Classification ID

Economic time series analysis (91B84) Memory and learning in psychology (91E40)

Related Items (8)

Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ Testing for long-range dependence in world stock markets ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Voter interacting systems applied to Chinese stock markets ⋮ MINIMIZING PERIODIC TRENDS BY APPLYING LAPLACE TRANSFORM ⋮ Tests of random walk: A comparison of bootstrap approaches ⋮ Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process ⋮ STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS

Uses Software

• bootstrap
• bootlib

Cites Work

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• Bootstrap methods: another look at the jackknife
• A critical look at Lo's modified \(R/S\) statistic.
• Note on bandwidth selection in testing for long range dependence.
• Log-periodogram regression of time series with long range dependence
• Fractional ARIMA with stable innovations
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Fractional differencing
• Long-Term Memory in Stock Market Prices
• THE SIZE DISTORTION OF BOOTSTRAP TESTS

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