EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London  >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62797
  
Title:A bootstrap invariance principle for highly nonstationary long memory processes PDF Logo
Authors:Kapetanios, George
Issue Date: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
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

Files in This Item:
File Description SizeFormat
379286769.pdf270.41 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/62797

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