No. 507: A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes
George Kapetanios ,
Queen Mary, University of London
February 1, 2004
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.
J.E.L classification codes: C15, C22
Keywords:Long memory, Bootstrap