Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2012
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated … produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre … experimental setting. The pre-filtered version of the bootstrap is shown to avoid the distinct underestimation of the sampling …