Overlapping sub-sampling and invariance to initial conditions
Overlapping sub-sampling and invariance to initial conditions
This paper studies the use of the overlapping blocking scheme in unit root autoregression. When the underlying process is that of a random walk, the blocks’ initial conditions are not fixed, but are equal to the sum of all the previous observations’ error terms. When non- overlapping subsamples are used, as first shown by Chambers and Kyriacou (2010), these initial conditions do not disappear asymptotically. In this paper we show that a simple way of overcoming this issue is to use overlapping blocks. By doing so, the effect of these initial conditions vanishes asymptotically. An application of these findings to jackknife estimators indicates that an estimator based on moving-blocks is able to provide obvious reductions to the mean square error
540-553
Kyriacou, Maria
6234587e-81f1-4e1d-941d-395996f8bda7
2017
Kyriacou, Maria
6234587e-81f1-4e1d-941d-395996f8bda7
Kyriacou, Maria
(2017)
Overlapping sub-sampling and invariance to initial conditions.
Communications in Statistics: Theory and Methods, 46 (2), .
(doi:10.1080/03610926.2014.999093).
Abstract
This paper studies the use of the overlapping blocking scheme in unit root autoregression. When the underlying process is that of a random walk, the blocks’ initial conditions are not fixed, but are equal to the sum of all the previous observations’ error terms. When non- overlapping subsamples are used, as first shown by Chambers and Kyriacou (2010), these initial conditions do not disappear asymptotically. In this paper we show that a simple way of overcoming this issue is to use overlapping blocks. By doing so, the effect of these initial conditions vanishes asymptotically. An application of these findings to jackknife estimators indicates that an estimator based on moving-blocks is able to provide obvious reductions to the mean square error
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Accepted/In Press date: 9 December 2014
e-pub ahead of print date: 13 October 2016
Published date: 2017
Organisations:
Economics
Identifiers
Local EPrints ID: 337799
URI: http://eprints.soton.ac.uk/id/eprint/337799
ISSN: 0361-0926
PURE UUID: df0b3593-e1e6-4e30-b3df-257339978b9c
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Date deposited: 04 May 2012 07:45
Last modified: 14 Mar 2024 10:58
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