Arbeitspapier

A bootstrap invariance principle for highly nonstationary long memory processes

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.

Language
Englisch

Bibliographic citation
Series: Working Paper ; No. 507

Classification
Wirtschaft
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Subject
Long memory, Bootstrap
Zeitreihenanalyse
Bootstrap-Verfahren

Event
Geistige Schöpfung
(who)
Kapetanios, George
Event
Veröffentlichung
(who)
Queen Mary University of London, Department of Economics
(where)
London
(when)
2004

Handle
Last update
20.09.2024, 8:25 AM CEST

Data provider

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Object type

  • Arbeitspapier

Associated

  • Kapetanios, George
  • Queen Mary University of London, Department of Economics

Time of origin

  • 2004

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