Improving Fractional Integration Tests With Bootstrap Distributions
Year of publication: |
2000-06-01
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Authors: | Andersson, Michael K. ; Gredenhoff, Mikael P. |
Institutions: | Konjunkturinstitutet, Government of Sweden |
Subject: | Long memory | Resampling | Skewness and kurtosis | ARCH | Size correction | Power |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Working Paper Number 74 18 pages |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
-
Robust Testing for Fractional Integration Using the Bootstrap
Andersson, Michael K., (1998)
-
Test for long memory processes. A bootstrap approach
Grau-Carles, Pilar, (2004)
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A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions
Belsley, David A., (1996)
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Improving fractional integration tests with bootstrap distributions
Andersson, Michael K., (2000)
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On the maximum likelihood cointegration procedure under a fractional equilibrium error
Andersson, Michael K., (1999)
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On the maximum likelihood cointegration procedure under a fractional equilibrium error
Andersson, Michael K., (1999)
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