A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

Research, Preprint OPEN
George Kapetanios;
(2004)
  • Publisher: London: Queen Mary University of London, Department of Economics
  • Subject: C22 | C15 | Bootstrap-Verfahren | Long memory, Bootstrap | Zeitreihenanalyse
    • jel: jel:C22 | jel:C15
      ddc: ddc:330

This paper presents an invariance principle for highly nonstationary long memory processes, defined as processes with long memory parameter lying in (1, 1.5). This principle provides the tools for showing asymptotic validity of the bootstrap in the context of such proce... View more
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