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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, 22-23 May 2009, Montréal, Canada.

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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
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: 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)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 19 Apr 2011 08:55
URL: http://eprints.lse.ac.uk/35738/

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