Bootstrapping the log-periodogram estimator of the long-memory parameter : is it worth weighting?
Saeed M. Heravi, Kerry D. Patterson
| Year of publication: |
2021
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| Authors: | Heravi, Saeed M. ; Patterson, Kerry D. |
| Published in: |
International journal of computational economics and econometrics : IJCEE. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1189, ZDB-ID 2545120-0. - Vol. 11.2021, 3, p. 201-221
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| Subject: | long memory | bootstrap | log-periodogram regression | variance inflation | weighted log-periodogram regression | time domain | frequency domain | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJCEE.2021.116384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012597684