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Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
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http://hdl.handle.net/10419/62797
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| Title: | | A bootstrap invariance principle for highly nonstationary long memory processes  |
| 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
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