Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Grose, Simone D."'
This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, $d$, in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data pre-filtered
Externí odkaz:
http://arxiv.org/abs/1603.01897
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 bootstrap to data pre-fil
Externí odkaz:
http://arxiv.org/abs/1402.6781
Publikováno v:
Published in Journal of Time Series Analysis, 2015. Volume 36, 721-740
This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the long memo
Externí odkaz:
http://arxiv.org/abs/1312.4675
Publikováno v:
Published in Journal of Econometrics, 2015. Volume 188, 94-100
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce
Externí odkaz:
http://arxiv.org/abs/1311.0096
Publikováno v:
Econometric Theory, 2017 Jun 01. 33(3), 578-609.
Externí odkaz:
https://www.jstor.org/stable/26357776
Publikováno v:
In Journal of Econometrics September 2015 188(1):94-110
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 bootstrap to data pre-fil
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e963869c4f5dcc66809eab5e6c6f0171
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e97aa6adf372dfc14810b68098400c6
Publikováno v:
In Journal of Econometrics December 2012 171(2):217-236
Publikováno v:
Journal of Time Series Analysis. Sep2015, Vol. 36 Issue 5, p721-740. 20p.