Bootstrap assisted specification tests for the FARIMA model

Delgado, Miguel A; Hidalgo, Javier; and Velasco, Carlos (2009) Bootstrap assisted specification tests for the FARIMA model In: Third Time Series conference, 2009-05-22 - 2009-05-23, Montréal,Canada,CAN.

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This article proposes omnibus bootstrap specification tests for the FARIMA model using statistics based on Bartlett's Tp

Item Type	Conference or Workshop Item (Paper)
Keywords	Tp process,bootstrap,martingale transformations
Departments	Economics STICERD
Date Deposited	19 Apr 2011 08:55
URI	https://researchonline.lse.ac.uk/id/eprint/35738

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Delgado, Miguel A
Hidalgo, Javier
Velasco, Carlos

HB Economic Theory

http://www.lse.ac.uk/economics/people/faculty/havier-hidalgo/home.aspx (Author)
http://www.cireq.umontreal.ca/home.html (Official URL)

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