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Bootstrapping long memory tests: some Monte Carlo results

Research output: Working paper

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Bootstrapping long memory tests: some Monte Carlo results. / Murphy, Anthony; Izzeldin, M.
Lancaster University: The Department of Economics, 2006. (Economics Working Paper Series).

Research output: Working paper

Harvard

Murphy, A & Izzeldin, M 2006 'Bootstrapping long memory tests: some Monte Carlo results' Economics Working Paper Series, The Department of Economics, Lancaster University.

APA

Murphy, A., & Izzeldin, M. (2006). Bootstrapping long memory tests: some Monte Carlo results. (Economics Working Paper Series). The Department of Economics.

Vancouver

Murphy A, Izzeldin M. Bootstrapping long memory tests: some Monte Carlo results. Lancaster University: The Department of Economics. 2006. (Economics Working Paper Series).

Author

Murphy, Anthony ; Izzeldin, M. / Bootstrapping long memory tests: some Monte Carlo results. Lancaster University : The Department of Economics, 2006. (Economics Working Paper Series).

Bibtex

@techreport{d85b469d72e847e89e5b73701b45a146,
title = "Bootstrapping long memory tests: some Monte Carlo results",
abstract = "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.",
keywords = "Moving block bootstrap, fractional integration",
author = "Anthony Murphy and M Izzeldin",
year = "2006",
language = "English",
series = "Economics Working Paper Series",
publisher = "The Department of Economics",
type = "WorkingPaper",
institution = "The Department of Economics",

}

RIS

TY - UNPB

T1 - Bootstrapping long memory tests: some Monte Carlo results

AU - Murphy, Anthony

AU - Izzeldin, M

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - Moving block bootstrap

KW - fractional integration

M3 - Working paper

T3 - Economics Working Paper Series

BT - Bootstrapping long memory tests: some Monte Carlo results

PB - The Department of Economics

CY - Lancaster University

ER -