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 … fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the … bootstrap technique are used to estimate the finite sample distributions of the sample autocorrelation coefficients and the …