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A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

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Author Info
George Kapetanios () (Queen Mary, University of London)
Abstract

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 processes.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp507.pdf
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Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 507.

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Date of creation: Feb 2004
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Handle: RePEc:qmw:qmwecw:wp507

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Related research
Keywords: Long memory; Bootstrap;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-12-3.

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