Bootstrapping long memory tests: some Monte Carlo results

DOI10.1016/j.csda.2008.07.040zbMath1453.62162OpenAlexW2150569570MaRDI QIDQ961426

B. E. Eshmatov

Publication date: 30 March 2010

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

Full work available at URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/BootstrappingTests.pdf

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 ⋮ R/S-bootstrapping test for fractional integration

Uses Software

• Ox
• bootlib

Cites Work

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