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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.

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Abstract

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)
Official URL: http://www.cireq.umontreal.ca/home.html
Additional Information: © 2009 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C31 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Sets: Departments > Economics
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 19 Apr 2011 08:55
Last Modified: 10 May 2019 23:10
URI: http://eprints.lse.ac.uk/id/eprint/35738

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