Bootstrapping the log-periodogram regression
نویسندگان
چکیده
Semiparametric estimation of the memory parameter in economic time series raises the problem of the small sample size and the poor approximation of the asymptotic distribution to the finite sample counterpart. This paper considers the bootstrap to improve the finite sample distribution of the popular log peridogram regression and shows that it can significantly reduce the error in the coverage rates of the confidence intervals. D 2004 Elsevier B.V. All rights reserved.
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تاریخ انتشار 2004