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Bootstrapping long memory tests: Some Monte Carlo results

Izzeldin, Marwan and Murphy, Anthony (2009) Bootstrapping long memory tests: Some Monte Carlo results. Computational Statistics and Data Analysis, 53 (6). pp. 2325-2334. ISSN 0167-9473

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Abstract

The bootstrapped size and power properties of six long memory tests the modified R/S, KPSS, V/S, GPH, Robinson's H and the recently proposed Sk tests are investigated. Even in samples of size 100, the moving block bootstrap controls the empirical size of the tests in the DGPs examined. The H test appears to be the most powerful. Moreover, compared with asymptotic tests, the bootstrap tests suffer little loss of power against fractionally integrated processes in samples with 250 or more observations. This is true both for distributions with heavy tails and with stochastic volatility.

Item Type: Article
Journal or Publication Title: Computational Statistics and Data Analysis
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Economics
ID Code: 55809
Deposited By: ep_importer_pure
Deposited On: 10 Jul 2012 10:30
Refereed?: Yes
Published?: Published
Last Modified: 09 Apr 2014 23:47
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/55809

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