R/S-bootstrapping test for fractional integration

DOI10.1080/03610918.2018.1498888OpenAlexW2901284965MaRDI QIDQ5086300

Wayne A. Woodward, Yixun Xing

Publication date: 5 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1498888

zbMATH Keywords

fractional integrationlong memoryparametric bootstrapR/S-type statistic

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• GW-WINKS

Cites Work

• 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?
• Bootstrapping long memory tests: some Monte Carlo results
• Estimating the dimension of a model
• Testing for stationarity with a break
• Rescaled variance and related tests for long memory in volatility and levels
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• Long-Term Memory in Stock Market Prices

This page was built for publication: R/S-bootstrapping test for fractional integration