Article ID Journal Published Year Pages File Type
5097556 Journal of Econometrics 2006 30 Pages PDF
Abstract
The magnitudes of the coverage probability errors for one-sided bootstrap CIs for covariance parameters for long-memory time series are shown to be essentially the same as they are with iid data. This occurs even though the mean of the time series cannot be estimated at the usual n1/2 rate.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, , ,