Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
AbstractIn this article, we investigate the consequences of applying the sieve bootstrap under regularity conditions that are sufficiently general to encompass both fractionally integrated and non-invertible processes. The sieve bootstrap is obtained by approximating the data-generating process by an autoregression, whose order h increases with the sample size T. The sieve bootstrap may be particularly useful in the analysis of fractionally integrated processes since the statistics of interest can often be non-pivotal with distributions that depend on the fractional index d. The validity of the sieve bootstrap is established for |d| 0. Practical implementation of the sieve bootstrap is considered and the results are illustrated using a canonical example. Copyright 2007 The Author
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 29 (2008)
Issue (Month): 2 (03)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
Other versions of this item:
- D. S. Poskitt, 2006. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 12/06, Monash University, Department of Econometrics and Business Statistics.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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