George Kapetanios () (Queen Mary, University of London) Zacharias Psaradakis () (Birkbeck College, University of London)
Abstract
This paper studies the properties of the sieve bootstrap for a class of linear processes which exhibit strong dependence. The sieve bootstrap scheme is based on residual resampling from autoregressive approximations the order of which increases slowly with the sample size. The first-order asymptotic validity of the sieve bootstrap is established in the case of the sample mean and sample autocovariances. The finite-sample properties of the method are also investigated by means of Monte Carlo experiments.
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number
552.
Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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