Bootstrap Testing for Fractional Integration

Bootstrap Testing for Fractional Integration PDF Author: Michael K. Andersson
Publisher:
ISBN:
Category :
Languages : en
Pages : 12

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Improving Fractional Integration Tests with Bootstrap Distributions

Improving Fractional Integration Tests with Bootstrap Distributions PDF Author: Michael K. Andersson
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages : 26

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Improving Fractional Integration Tests with Bootstrap Distribution

Improving Fractional Integration Tests with Bootstrap Distribution PDF Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 18

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Robust Testing for Fractional Integration Using the Bootstrap

Robust Testing for Fractional Integration Using the Bootstrap PDF Author: Michael K. Andersson
Publisher:
ISBN:
Category :
Languages : en
Pages : 19

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Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets PDF Author: Giuseppe Cavalierea
Publisher:
ISBN:
Category :
Languages : en
Pages : 47

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Book Description

Bootstrap Inference in Time Series Econometrics

Bootstrap Inference in Time Series Econometrics PDF Author: Mikael Gredenhoff
Publisher: Stockholm School of Economics Efi Economic Research Institut
ISBN:
Category : Business & Economics
Languages : en
Pages : 170

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A Generalised Fractional Differencing Bootstrap for Long Memory Processes

A Generalised Fractional Differencing Bootstrap for Long Memory Processes PDF Author: George Kappetanios
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
A bootstrap methodology suitable for use with stationary and non-stationary fractionally integrated time series is further developed in this article. The resampling algorithm involves estimating the degree of fractional integration, applying the fractional differencing operator, resampling the resulting approximation to the underlying short memory series and, finally, cumulating to obtain a resample of the original fractionally integrated process. This approach extends existing methods in the literature by allowing for general bootstrap schemes including blockwise bootstraps. Furthermore, we show that it can also be validly used for non-stationary fractionally integrated processes. We establish asymptotic validity results for the general method and provide simulation evidence which highlights a number of favourable aspects of its finite sample performance, relative to other commonly used bootstrap methods.

Improving Fractional Integration Fets with Bootstrap Distributions

Improving Fractional Integration Fets with Bootstrap Distributions PDF Author: Michael K. Andersson
Publisher:
ISBN:
Category :
Languages : en
Pages : 18

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Book Description

Bootstrap Methods

Bootstrap Methods PDF Author: Gerhard Dikta
Publisher: Springer Nature
ISBN: 3030734803
Category : Mathematics
Languages : en
Pages : 256

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Book Description
This book provides a compact introduction to the bootstrap method. In addition to classical results on point estimation and test theory, multivariate linear regression models and generalized linear models are covered in detail. Special attention is given to the use of bootstrap procedures to perform goodness-of-fit tests to validate model or distributional assumptions. In some cases, new methods are presented here for the first time. The text is motivated by practical examples and the implementations of the corresponding algorithms are always given directly in R in a comprehensible form. Overall, R is given great importance throughout. Each chapter includes a section of exercises and, for the more mathematically inclined readers, concludes with rigorous proofs. The intended audience is graduate students who already have a prior knowledge of probability theory and mathematical statistics.

Almost All about Unit Roots

Almost All about Unit Roots PDF Author: In Choi
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301

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Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.