Bootstrap Estimating the Long Memory Parameter of Long Memory Time Series

Abstract

Abstract This paper evaluates the finite sample performances of three bootstrap methods, sieve AR bootstrap (SARB), fractional differencing sieve bootstrap (FDSB) and fractional differencing block bootstrap (FDBB), inestimating the long memory parameter in long memory time series. Extensive simulations show that the FDSB method outperforms others when estimating long memory parameter, and has stable estimated results in most cases.