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A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

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    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, School of Economics and Finance 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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    1. de Jong, Robert M. & Davidson, James, 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I," Econometric Theory, Cambridge University Press, vol. 16(05), pages 621-642, October.
    2. Inoue, Atsushi & Kilian, Lutz, 2003. "The Continuity Of The Limit Distribution In The Parameter Of Interest Is Not Essential For The Validity Of The Bootstrap," Econometric Theory, Cambridge University Press, vol. 19(06), pages 944-961, December.
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