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20132016
most citedHigher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

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stat.ME2014

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

D. S. Poskitt, Gael M. Martin, Simone D. Grose

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling…