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BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL

Published online by Cambridge University Press:  14 April 2011

Miguel A. Delgado ,
Javier Hidalgo  and
Carlos Velasco
Miguel A. Delgado
Affiliation:
Universidad Carlos III
Javier Hidalgo*
Affiliation:
London School of Economics
Carlos Velasco
Affiliation:
Universidad Carlos III
*
*Address correspondence to Javier Hidalgo, Economics Department, London School of Economics, London, United Kingdom; e-mail: F.j.hidalgo@lse.ac.uk.
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Abstract

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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Type
ARTICLES
Information
Econometric Theory , Volume 27 , Issue 5: SPECIAL ISSUE ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES , October 2011 , pp. 1083 - 1116
Copyright
Copyright © Cambridge University Press 2011

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