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

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Description/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

Item Type: Article
ISSNs: 0361-0926 (print)
Subjects:
Organisations: Economics
ePrint ID: 337799
Date :
Date Event
4 December 2014Accepted/In Press
Date Deposited: 04 May 2012 07:45
Last Modified: 17 Apr 2017 17:13
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/337799

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