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Bootstrap assisted specification tests for the afirma model

Delgado, Miguel A. and Hidalgo, Javier and Velasco, Carlos (2011) Bootstrap assisted specification tests for the afirma model. Econometric Theory, 27 (05). pp. 1083-1116. ISSN 0266-4666

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Identification Number: 10.1017/S0266466610000642

Abstract

This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett Tp-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed. The computation of the asymptotic critical values is not easy if at all possible under these circumstances. To circumvent this problem Delgado, Hidalgo, and Velasco (2005, Annals of Statistics 33, 2568–2609) proposed an asymptotically pivotal transformation of the Tp-process with estimated parameters. The aim of this paper is twofold. First, to examine alternative methods based on bootstrap algorithms for estimating the distribution of the test under the null, showing its validity. And second, to study the finite-sample performance of the different alternative procedures via Monte Carlo simulation.

Item Type: Article
Official URL: http://www.rairo-ita.org/action/displayJournal?jid...
Additional Information: © 2011 Cambridge University Press
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling
Sets: Departments > Economics
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 03 Oct 2011 15:00
Last Modified: 30 May 2014 15:33
URI: http://eprints.lse.ac.uk/id/eprint/38584

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