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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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:
Journal Article
Journal or Publication Title:
Computational Statistics and Data Analysis
Uncontrolled Keywords:
?? economicscomputational theory and mathematicscomputational mathematicsapplied mathematicsstatistics and probabilityhb economic theory ??
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Deposited On:
10 Jul 2012 09:30
Last Modified:
15 Jul 2024 12:59