Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
In 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
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 29 (2008)
Issue (Month): 2 (03)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W.K. Andrews, 2002.
"The Block-block Bootstrap: Improved Asymptotic Refinements,"
Cowles Foundation Discussion Papers
1370, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews, 2004. "the Block-Block Bootstrap: Improved Asymptotic Refinements," Econometrica, Econometric Society, vol. 72(3), pages 673-700, 05.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, 07.
- L. Giraitis & P.M. Robinson, 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
- Lieberman, Offer & Rousseau, Judith & Zucker, David M., 2001. "Valid Edgeworth Expansion For The Sample Autocorrelation Function Under Long Range Dependence," Econometric Theory, Cambridge University Press, vol. 17(01), pages 257-275, February.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
- Lieberman, Offer & Phillips, Peter C.B., 2004. "Expansions For The Distribution Of The Maximum Likelihood Estimator Of The Fractional Difference Parameter," Econometric Theory, Cambridge University Press, vol. 20(03), pages 464-484, June.
When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:29:y:2008:i:2:p:224-250. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.