Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62797
Year of Publication: 
2004
Series/Report no.: 
Working Paper No. 507
Publisher: 
Queen Mary University of London, Department of Economics, London
Abstract: 
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.
Subjects: 
Long memory, Bootstrap
JEL: 
C15
C22
Document Type: 
Working Paper

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