Grose, Simone D.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014
This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory … long memory process captured by an autoregressive approximation. With a view to improving accuracy, the sieve method is … also applied to data pre-filtered by a semi-parametric estimate of the long memory parameter. Both versions of the …