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)
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Test for long memory processes. A bootstrap approach
Grau-Carles, Pilar, (2004)
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Applications of Subsampling, Hybrid, and Size-Correction Methods
Andrews, Donald W.K., (2007)
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Robust Testing for Fractional Integration Using the Bootstrap
Andersson, Michael K., (1998)
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Bootstrap Testing for Fractional Integration
Andersson, Michael K., (1997)
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On the maximum likelihood cointegration procedure under a fractional equilibrium error
Andersson, Michael K., (1999)
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