Poskitt, D.S.; Martin, Gael M.; Grose, Simone D. - Department of Econometrics and Business Statistics, … - 2014
This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve boot-strap to data pre-filtered by a preliminary semi-parametric...