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.Long memory, Bootstrap

George Kapetanios

English

Research Papers in Economics

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A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

http://www.econ.qmul.ac.uk/papers/doc/wp507.pdf

A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

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Research Papers in Economics