Bootstrap long memory processes in the frequency domain

Javier Hidalgo

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The aim of the paper is to describe a bootstrap, contrary to the sieve boot- strap, valid under either long memory (LM) or short memory (SM) depen- dence. One of the reasons of the failure of the sieve bootstrap in our context is that under LM dependence, the sieve bootstrap may not be able to capture the true covariance structure of the original data. We also describe and ex- amine the validity of the bootstrap scheme for the least squares estimator of the parameter in a regression model and for model specification. The moti- vation for the latter example comes from the observation that the asymptotic distribution of the test is intractable.

Keywords: long memory; bootstrap methods; aggregation; semiparametric model (search for similar items in EconPapers)
JEL-codes: C1 J1 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2021-06-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-isf
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Published in Annals of Statistics, 1, June, 2021, 49(3), pp. 1407 - 1435. ISSN: 0090-5364

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:106149

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