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Bootstrapping the small sample critical values of the rescaled range statistic

Research output: Contribution to journalJournal articlepeer-review

Published
<mark>Journal publication date</mark>2000
<mark>Journal</mark>Economic and Social Review
Issue number4
Volume31
Number of pages9
Pages (from-to)351-359
Publication StatusPublished
<mark>Original language</mark>English

Abstract

Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The Monte Carlo results show that the asymptotic critical values in Lo (1991) should not be used.