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Bootstrapping long memory tests: some Monte Carlo results

Research output: Working paper

Publication date2006
Place of PublicationLancaster University
PublisherThe Department of Economics
Number of pages0
<mark>Original language</mark>English

Publication series

NameEconomics Working Paper Series


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.