The University of Southampton
University of Southampton Institutional Repository

Overlapping sub-sampling and invariance to initial conditions

Kyriacou, Maria (2014) Overlapping sub-sampling and invariance to initial conditions Communications in Statistics: Theory and Methods

Record type: Article


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

PDF 1203.pdf - Author's Original
Download (338kB)

More information

Accepted/In Press date: 4 December 2014
Organisations: Economics


Local EPrints ID: 337799
ISSN: 0361-0926
PURE UUID: df0b3593-e1e6-4e30-b3df-257339978b9c

Catalogue record

Date deposited: 04 May 2012 07:45
Last modified: 18 Jul 2017 06:01

Export record


Author: Maria Kyriacou

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.