{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,5]],"date-time":"2025-03-05T05:49:06Z","timestamp":1741153746150,"version":"3.38.0"},"reference-count":33,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2011,4,14]],"date-time":"2011-04-14T00:00:00Z","timestamp":1302739200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2011,10]]},"abstract":"<jats:p>This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett<jats:italic>T<jats:sub>p<\/jats:sub><\/jats:italic>-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,<jats:italic>Annals of Statistics<\/jats:italic>33, 2568\u20132609) proposed an asymptotically pivotal transformation of the<jats:italic>T<jats:sub>p<\/jats:sub><\/jats:italic>-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.<\/jats:p>","DOI":"10.1017\/s0266466610000642","type":"journal-article","created":{"date-parts":[[2011,4,14]],"date-time":"2011-04-14T08:49:33Z","timestamp":1302770973000},"page":"1083-1116","source":"Crossref","is-referenced-by-count":2,"title":["BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL"],"prefix":"10.1017","volume":"27","author":[{"given":"Miguel A.","family":"Delgado","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Javier","family":"Hidalgo","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Carlos","family":"Velasco","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2011,4,14]]},"reference":[{"key":"S0266466610000642_ref33","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2000.10474323"},{"key":"S0266466610000642_ref31","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176324317"},{"key":"S0266466610000642_ref30","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176324636"},{"key":"S0266466610000642_ref29","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1994.10476881"},{"key":"S0266466610000642_ref28","doi-asserted-by":"publisher","DOI":"10.1017\/CCOL0521444594.002"},{"key":"S0266466610000642_ref26","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/65.2.297"},{"key":"S0266466610000642_ref25","doi-asserted-by":"crossref","first-page":"204","DOI":"10.1214\/aos\/1018031108","article-title":"Nonparametric model checks in time series","volume":"27","author":"Koul","year":"1999","journal-title":"Annals of Statistics"},{"key":"S0266466610000642_ref24","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00342"},{"key":"S0266466610000642_ref22","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/68.1.165"},{"key":"S0266466610000642_ref21","doi-asserted-by":"publisher","DOI":"10.2307\/2171847"},{"key":"S0266466610000642_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.06.015"},{"key":"S0266466610000642_ref19","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.03.003"},{"key":"S0266466610000642_ref17","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-4384-7"},{"key":"S0266466610000642_ref16","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1980.tb00297.x"},{"key":"S0266466610000642_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(80)90092-5"},{"key":"S0266466610000642_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00154-4"},{"key":"S0266466610000642_ref32","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-0795-5"},{"key":"S0266466610000642_ref27","first-page":"163","article-title":"Statistical inference for a random coefficient autoregressive model","volume":"5","author":"Robinson","year":"1978","journal-title":"Scandinavian Journal of Statistics"},{"key":"S0266466610000642_ref5","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1970.10481180"},{"key":"S0266466610000642_ref8","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00162"},{"key":"S0266466610000642_ref7","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1111\/j.2517-6161.1975.tb01532.x","article-title":"Techniques for testing constancy of regression relationships over time (with discussion)","volume":"37","author":"Brown","year":"1975","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"S0266466610000642_ref6","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/60.2.217"},{"volume-title":"Statistics for Long-Memory Processes","year":"1998","author":"Beran","key":"S0266466610000642_ref3"},{"volume-title":"Convergence of Probability Measures","year":"1968","author":"Billingsley","key":"S0266466610000642_ref4"},{"key":"S0266466610000642_ref1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176349153"},{"key":"S0266466610000642_ref12","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176990862"},{"key":"S0266466610000642_ref23","doi-asserted-by":"publisher","DOI":"10.1137\/1126027"},{"key":"S0266466610000642_ref11","unstructured":"Giacomini R. , Politis D.N. , & White H. 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