A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

George Kapetanios

No 507, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Long memory; Bootstrap (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Date: 2004-02-01
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:507

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