School of Economics and Finance

No. 507: A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

George Kapetanios , Queen Mary, University of London

February 1, 2004

Download full paper


This paper presents an invariance principle for highly nonstationary long memory processes, defined as processes with long memory parameter lying in (1, 1.5). This principle provides the tools for showing asymptotic validity of the bootstrap in the context of such processes.

J.E.L classification codes: C15, C22

Keywords:Long memory, Bootstrap