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Bootstrapping long memory tests: some Monte Carlo results

Murphy, Anthony and Izzeldin, M (2006) Bootstrapping long memory tests: some Monte Carlo results. Working Paper. The Department of Economics, Lancaster University.

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    Abstract

    We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against fractionally integrated alternatives is often a good deal less than that of asymptotic tests. In larger samples, the power of the five tests is good against common fractionally integrated alternatives - the FI case and the FI with a stochastic volatility error case.

    Item Type: Monograph (Working Paper)
    Uncontrolled Keywords: Moving block bootstrap ; fractional integration
    Subjects: H Social Sciences > HB Economic Theory
    Departments: Lancaster University Management School > Economics
    ID Code: 48822
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:14
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:15
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48822

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