Abstract

Consider the AR(1) model, where is a sequence of long memory processes with possibly infinite variance. In this paper, we propose to use a residual-based m-out-of-n bootstrap procedure to approximate the distribution of a least-squares estimator for the autoregressive parameter when this parameter is equal to unity, and its asymptotic validity is also proved.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call