Using the bootstrap for finite sample confidence intervals of the log periodogram regression

DOI10.1016/j.csda.2008.04.034zbMath1453.62032OpenAlexW2088938970MaRDI QIDQ961387

Josu Arteche, Jesus Orbe

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.04.034

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items

A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Bootstrap approaches for estimation and confidence intervals of long memory processes ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Graphical methods for investigating the finite-sample properties of confidence regions ⋮ Bootstrap-based bandwidth choice for log-periodogram regression

Uses Software

• bootstrap
• bootlib

Cites Work

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