Bootstrapping the small sample critical values of the rescaled range statistic

Izzeldin, Marwan and Murphy, Anthony (2000) Bootstrapping the small sample critical values of the rescaled range statistic. Economic and Social Review, 31 (4). pp. 351-359.

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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:
Journal Article
Journal or Publication Title:
Economic and Social Review
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/3300/3312
Subjects:
?? ECONOMICS AND ECONOMETRICSSOCIOLOGY AND POLITICAL SCIENCE ??
ID Code:
44975
Deposited By:
Deposited On:
11 Jul 2011 18:24
Refereed?:
Yes
Published?:
Published
Last Modified:
11 Sep 2023 14:18