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
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 507
- Classification
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Wirtschaft
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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Long memory, Bootstrap
Zeitreihenanalyse
Bootstrap-Verfahren
- Event
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Geistige Schöpfung
- (who)
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Kapetanios, George
- Event
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Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
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London
- (when)
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2004
- Handle
- Last update
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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