English, Article, Journal or magazine article edition: Bootstrapping long memory tests: some Monte Carlo results Anthony Murphy; Marwan Izzeldin

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Bookmark: http://trove.nla.gov.au/version/59287
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Bootstrapping long memory tests: some Monte Carlo results
Author
  • Anthony Murphy
  • Marwan Izzeldin
Physical Description
  • preprint
Notes
  • 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.
  • Moving block bootstrap; fractional integration
  • RePEc:lan:wpaper:003091
Language
  • English
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