No abstract

Autoregression, Autoregressive approximation, Fractional process, Non-invertibility, Order selection, Asymptotic efficiency,

In this paper we will investigate the consequences of applying the sieve bootstrap under regularity conditions that are sufficiently general to encompass both fractionally integrated and non-invertible processes. The sieve bootstrap is obtained by approximating the data generating process by an autoregression whose order h increases with the sample size T . The sieve bootstrap may be particularly useful in the analysis of fractionally integrated processes since the statistics of interest can often be non-pivotal with distributions that depend on the fractional index d. The validity of the sieve bootstrap is established and it is shown that when the sieve bootstrap is used to approximate the distribution of a general class of statistics admitting an Edgeworth expansion then the error rate achieved is of order O(T β+d−1 ), for any β > 0. Practical implementation of the sieve bootstrap is considered and the results are illustrated using a canonical example.Key words and phrases : autoregressive approximation, fractional process, non-invertibility, rate of conver gence, s ieve b o ots tr ap.

Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time series generated by possibly infinite order processes. The resulting asymptotic distributions of forecast error variance decompositions are also given.