BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL

摘要: This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on Bartlett Tp-process with estimated parameters whose limiting distribution under null depends and estimation method employed. The computation of asymptotic critical values is not easy if at all possible these circumstances. To circumvent this problem Delgado, Hidalgo, Velasco (2005, Annals Statistics 33, 2568–2609) proposed an asymptotically pivotal transformation parameters. aim twofold. First, to examine alternative methods algorithms estimating test null, showing its validity. And second, study finite-sample performance different procedures via Monte Carlo simulation.