43
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

R/S-bootstrapping test for fractional integration

&
Pages 1467-1473 | Received 10 Apr 2017, Accepted 03 Jul 2018, Published online: 17 Nov 2018

References

  • Andersson, M. K., and M. P. Gredenhoff. 1997. Bootstrap testing for fractional integration. Tech. report, Stockholm School of Economics, Sweden.
  • Cavaliere, G., M. Ø. Nielsen, and A. M. Robert Taylor. 2015. Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Journal of Econometrics 187: 557–579.
  • Geweke, J., and S. Porter-Hudak. 1983. The estimation and application of long memory time series models. Journal of Time Series Analysis 4: 221–238.
  • Giraitis, L., P. Kokoszka, R. Leipus, and G. Teyssiere. 2003. Rescaled variance and related tests for long memory in volatility and levels. Journal of Econometrics 112: 265–294.
  • Grau-Carles, P. 2006. Bootstrap testing for detrended fluctuation analysis. Physica A: Statistical Mechanics and its Applications 360: 89–98.
  • Gulesserian, S. G., and M. Kejriwal. 2014. On the power of bootstrap tests for stationarity: A Monte Carlo comparison. Empirical Economics 46: 973–998.
  • Hosking, J. R. M. 1981. Fractional differencing. Biometrika 68: 165–176.
  • Kurozumi, E. 2002. Testing for stationarity with a break. Journal of Econometrics 108: 63–99.
  • Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, and Y. Shin. 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics 54: 159–178.
  • Lo, A. W. 1991. Long-term memory in stock market prices. Econometrica 59: 1279–1313.
  • Murphy, A., and M. Izzeldin. 2009. Bootstrapping long memory tests: Some Monte Carlo results. Computational Statistics & Data Analysis 53: 2325–2334.
  • Peng, C.-K., S. V. Buldyrev, S. Havlin, M. Simons, H. E. Stanley, and A.L. Goldberger. 1994. Mosaic organization of DNA nucleotides. Physical Review E 49: 1685.
  • Schwarz, G. 1978. Estimating the dimension of a model. The Annals of Statistics 6: 461–464.
  • Woodward, W. A., H. L. Gray, and A. C. Elliott. 2017. Applied time series analysis with R. 2nd ed. Boca Raton, FL: CRC Press.
  • Woodward, W. A., S. Bottone, and H. L. Gray. 1997. Improved tests for trend in time series data. Journal of Agricultural, Biological, and Environmental Statistics 2: 403–416.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.