Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62797
Authors: 
Kapetanios, George
Year of Publication: 
2004
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 507
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

Files in This Item:
File
Size
270.41 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.