Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases

By D. Poskitt. 2007

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f2ae4cc45b1984877968bd8b74d4737fbb5b623c

Citations in the corpus

• Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes (2008, unknown): “…difference in the two estimators is due to edge effects, and although these effects can be shown to be asymptotically negligible (Poskitt, 2006, Cor. 1), experimental evidence presented in Grose and Poskitt (2006) indicates that the two estimators can have quite different finite sample behaviour.”