Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Bootstrapping long memory tests: Some Monte Carlo results
AU - Izzeldin, Marwan
AU - Murphy, Anthony
PY - 2009/4/15
Y1 - 2009/4/15
N2 - 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.
AB - 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.
U2 - 10.1016/j.csda.2008.07.040
DO - 10.1016/j.csda.2008.07.040
M3 - Journal article
VL - 53
SP - 2325
EP - 2334
JO - Computational Statistics and Data Analysis
JF - Computational Statistics and Data Analysis
SN - 0167-9473
IS - 6
ER -