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Robust testing for fractional integration using the bootstrap
TLDR
In this paper, the authors discuss how computer intensive methods may be used to adjust the test distribution, such that the actual significance level will coincide with the desired nominal level, and as a concequence, too many true null hypotheses will falsely be rejected.Abstract:
This dissertation contains five essays in the field of time series econometrics. The main issue discussed is the lack of coherence between small sample and asymptotic inference. Frequently, in modern econometrics distributional results are strictly only valid for a hypothetical infinite sample. Studies show that the attained actual level of a test may be considerable different from the nominal significance level, and as a concequence, too many true null hypotheses will falsely be rejected. This leads, in the extension, to applied users that too often reject evidence in the data for theoretical predictions. In large, the thesis discusses how computer intensive methods may be used to adjust the test distribution, such that the actual significance level will coincide with the desired nominal level. The first two essays focus on how to improve testing for persistence in data, through a bootstrap procedure within a univariate framework. The remaining three essays are studies of multivariate time series models. The third essay considers the identification problem of the basic stationary vector autoregressive model, which is also the basic-line econometric specification for maximum likelihood cointegration analysis. In the fourth essay the multivariate framework is expanded to allow for components of different integrating order and in this setting the paper discusses how fractional cointegration affects the inference in maximum likelihood cointegration analysis. The fifth essay consider once again the bootstrap testing approach, now in a multivariate application, to correct inference on long-run relations in maximum likelihood cointegration analysis.read more
Citations
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You must remember this: dealing with long memory in political analyses
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A model of fractional cointegration, and tests for cointegration using the bootstrap☆
TL;DR: In this paper, a framework for modelling cointegration in fractionally integrated processes, and methods for testing the existence of cointegrating relationships using the parametric bootstrap is proposed.
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Long memory and chaotic models of prices on the London Metal Exchange
TL;DR: In this article, the authors applied long memory and chaos analysis to the London Metal Exchange (LME) market and found that the long memory hypothesis is consistent with the observed metal price nonlinear dynamics.
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Bootstrap Testing Linear Restrictions on Cointergrating Vectors
Mikael Gredenhoff,Tor Jacobson +1 more
TL;DR: In this article, the authors consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis and show that the size distortion for the asymptotic likelihood ratio test can be considerable for small samples.
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Long memory in a small stock market
TL;DR: The presence of long memory in Finnish stock market return data is tested using nonparametric methods and statistically significant long memory is detected in considerably more than what is usually found in data of this kind.
References
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A new look at the statistical model identification
TL;DR: In this article, a new estimate minimum information theoretical criterion estimate (MAICE) is introduced for the purpose of statistical identification, which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure.
Book
An introduction to the bootstrap
Bradley Efron,Robert Tibshirani +1 more
TL;DR: This article presents bootstrap methods for estimation, using simple arguments, with Minitab macros for implementing these methods, as well as some examples of how these methods could be used for estimation purposes.
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Bootstrap Methods: Another Look at the Jackknife
TL;DR: In this article, the authors discuss the problem of estimating the sampling distribution of a pre-specified random variable R(X, F) on the basis of the observed data x.
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A long memory property of stock market returns and a new model
TL;DR: In this paper, a Monte-Carlo analysis of stock market returns was conducted and it was found that not only there is substantially more correlation between absolute returns than returns themselves, but the power transformation of the absolute return also has quite high autocorrelation for long lags.
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An introduction to long‐memory time series models and fractional differencing
TL;DR: Generation and estimation of these models are considered and applications on generated and real data presented, showing potentially useful long-memory forecasting properties.