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The University of Southampton
EconomicsPart of Economic, Social and Political Science

1203 Overlapping Sub-Sampling and Invariance to Initial Conditions (M.Kyriacou)


Paper 1203 Overlapping Sub-sampling and Invariance to Initial Conditions.

Author: Maria Kyriacou (University of Southampton)


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 nonoverlapping 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 estimator indicates that an estimator based on moving-blocks is able to provide obvious reductions to the mean square error.

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