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Bootstrap long memory processes in the frequency domain

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  • Hidalgo, Javier

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.

Suggested Citation

  • Hidalgo, Javier, 2021. "Bootstrap long memory processes in the frequency domain," LSE Research Online Documents on Economics 106149, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:106149
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    File URL: http://eprints.lse.ac.uk/106149/
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    References listed on IDEAS

    as
    1. Javier Hidalgo & Peter M Robinson, 1997. "Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)," STICERD - Econometrics Paper Series 318, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Ho, Hwai-Chung & Sun, Tze-Chien, 1987. "A central limit theorem for non-instantaneous filters of a stationary Gaussian process," Journal of Multivariate Analysis, Elsevier, vol. 22(1), pages 144-155, June.
    3. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    long memory; bootstrap methods; aggregation; semiparametric model;
    All these keywords.

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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