TY - JOUR
T1 - Higher-order improvements of the sieve bootstrap for fractionally integrated processes
AU - Poskitt, Don Stephen
AU - Grose, Simone Deborah
AU - Martin, Gael Margaret
PY - 2015
Y1 - 2015
N2 - This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve, whereby the dynamics in the process used to produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre-filtered by a semi-parametric estimate of the long memory parameter is also explored. Higher-order improvements yielded by both forms of resampling are demonstrated using Edgeworth expansions for a broad class of statistics that includes first and second-order moments, the discrete Fourier transform and regression coefficients. The methods are then applied to the problem of estimating the sampling distributions of the sample mean and of selected sample autocorrelation coefficients, in experimental settings. In the case of the sample mean, the prefiltered version of the bootstrap is shown to avoid the distinct underestimation of the sampling variance of the mean which the raw sieve method demonstrates in finite samples, higher-order accuracy of the latter notwithstanding. Pre-filtering also produces gains in terms of the accuracy with which the sampling distributions of the sample autocorrelations are reproduced, most notably in the part of the parameter space in which asymptotic normality does not obtain.
AB - This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve, whereby the dynamics in the process used to produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre-filtered by a semi-parametric estimate of the long memory parameter is also explored. Higher-order improvements yielded by both forms of resampling are demonstrated using Edgeworth expansions for a broad class of statistics that includes first and second-order moments, the discrete Fourier transform and regression coefficients. The methods are then applied to the problem of estimating the sampling distributions of the sample mean and of selected sample autocorrelation coefficients, in experimental settings. In the case of the sample mean, the prefiltered version of the bootstrap is shown to avoid the distinct underestimation of the sampling variance of the mean which the raw sieve method demonstrates in finite samples, higher-order accuracy of the latter notwithstanding. Pre-filtering also produces gains in terms of the accuracy with which the sampling distributions of the sample autocorrelations are reproduced, most notably in the part of the parameter space in which asymptotic normality does not obtain.
U2 - 10.1016/j.jeconom.2015.03.045
DO - 10.1016/j.jeconom.2015.03.045
M3 - Article
SN - 0304-4076
VL - 188
SP - 94
EP - 110
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -