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Bootstrap assited specification tests for the ARFIMA model

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URI: http://hdl.handle.net/10016/15033
ISSN: 0266-4666
DOI: 10.1017/S0266466610000642
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bootstrap_delgado_ ET_2011_ps.pdf (473.28 KB)
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2011
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Cambridge University Press
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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.
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ARFIMA model
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Econometric Theory, 2011, nº 27, pp. 1083-1116
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