Izzeldin, Marwan and Murphy, Anthony (2000) Bootstrapping the small sample critical values of the rescaled range statistic. The Economic and Social Review, 31 (4). pp. 351-359.
Full text not available from this repository.Abstract
Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The Monte Carlo results show that the asymptotic critical values in Lo (1991) should not be used.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | The Economic and Social Review |
| Subjects: | UNSPECIFIED |
| Departments: | Lancaster University Management School > Economics |
| ID Code: | 44975 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 11 Jul 2011 19:24 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 19:10 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/44975 |
Actions (login required)
| View Item |
