Higher-order improvements of the sieve bootstrap for fractionally integrated processes
D.S. Poskitt, Simone D. Grose, Gael M. Martin (Department of Econometrics & Business Statistics, Monash University, Australia)
| Year of publication: |
September 2015
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|---|---|
| Authors: | Poskitt, Donald Stephen ; Grose, Simone D. ; Martin, Gael M. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 188.2015, 1, p. 94-110
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| Subject: | Long memory | ARFIMA | Sieve bootstrap | Bootstrap-based inference | Edgeworth expansion | Sampling distribution | Bootstrap-Verfahren | Bootstrap approach | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution |