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No. 507: A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

George Kapetanios , Queen Mary, University of London

February 1, 2004

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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.

J.E.L classification codes: C15, C22

Keywords:Long memory, Bootstrap

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