Search Results - subject:"Bootstrap-based inference"

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Poskitt, D.S.; Martin, Gael M.; Grose, Simone D. - Department of Econometrics and Business Statistics, … - 2014

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve boot-strap to data pre-filtered by a preliminary semi-parametric...

Persistent link: https://www.econbiz.de/10010958954

Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2013

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated …

Persistent link: https://www.econbiz.de/10010860410

Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2012

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated …

Persistent link: https://www.econbiz.de/10010542336

Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Poskitt, Donald Stephen; Grose, Simone D.; Martin, Gael M. - In: Journal of econometrics 188 (2015) 1, pp. 94-110

Persistent link: https://www.econbiz.de/10011500263