Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

Journal of Econometrics

Volumn 133, Issue 2, 2006, Pages 673-702

  Andrews, Donald W K ^a   Lieberman, Offer ^a   Marmer, Vadim ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

Asymptotics; Confidence intervals; Delta method; Edgeworth expansion; Gaussian process; Long memory; Maximum likelihood estimator; Parametric bootstrap; t statistic; Whittle likelihood

Indexed keywords

MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; PROBABILITY; PROBLEM SOLVING; TIME SERIES ANALYSIS;

ASYMPTOTICS; CONFIDENCE INTERVALS; DELTA METHOD; EDGEWORTH EXPANSION; GAUSSIAN PROCESS; LONG MEMORY; PARAMETRIC BOOTSTRAP; T STATISTIC; WHITTLE LIKELIHOOD;

ERROR ANALYSIS;

EID: 33745918034     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.010     Document Type: Article

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