3 citations · 3 across the 1 of their papers we have counts for
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Bias Correction of Semiparametric Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
Don S. Poskitt, Gael M. Martin, Simone D. Grose
This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, , in fractionally integrated processes. The re-sampling method…
Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
D. S. Poskitt, Gael M. Martin, Simone D. Grose
This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling…
Bias Correction of Persistence Measures in Fractionally Integrated Models
Simone D. Grose, Gael M. Martin, Donald S. Poskitt
This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory fractionally integrated processes. The bootstrap method is based on…
Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
D. S. Poskitt, Simone D. Grose, Gael M. Martin
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametr…