Grose, Simone D.; Martin, Gael M.; Poskitt, Donald S. - Department of Econometrics and Business Statistics, … - 2013
This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory … impulse response coefficients and, in turn, to bias-adjust these statistics. The accuracy of the resultant estimators in the … case of the autocorrelation coefficients is also compared with that yielded by analytical bias adjustment methods when …