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Bootstrapping the small sample critical values of the rescaled range statistic

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Bootstrapping the small sample critical values of the rescaled range statistic. / Izzeldin, Marwan; Murphy, Anthony.
In: Economic and Social Review, Vol. 31, No. 4, 2000, p. 351-359.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Izzeldin, M & Murphy, A 2000, 'Bootstrapping the small sample critical values of the rescaled range statistic', Economic and Social Review, vol. 31, no. 4, pp. 351-359. <http://econpapers.repec.org/article/esojournl/v_3a31_3ay_3a2000_3ai_3a4_3ap_3a351-359.htm>

APA

Izzeldin, M., & Murphy, A. (2000). Bootstrapping the small sample critical values of the rescaled range statistic. Economic and Social Review, 31(4), 351-359. http://econpapers.repec.org/article/esojournl/v_3a31_3ay_3a2000_3ai_3a4_3ap_3a351-359.htm

Vancouver

Izzeldin M, Murphy A. Bootstrapping the small sample critical values of the rescaled range statistic. Economic and Social Review. 2000;31(4):351-359.

Author

Izzeldin, Marwan ; Murphy, Anthony. / Bootstrapping the small sample critical values of the rescaled range statistic. In: Economic and Social Review. 2000 ; Vol. 31, No. 4. pp. 351-359.

Bibtex

@article{2991af71ccfa487a823961662095c809,
title = "Bootstrapping the small sample critical values of the rescaled range statistic",
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. ",
author = "Marwan Izzeldin and Anthony Murphy",
year = "2000",
language = "English",
volume = "31",
pages = "351--359",
journal = "Economic and Social Review",
publisher = "Economic and Social Studies",
number = "4",

}

RIS

TY - JOUR

T1 - Bootstrapping the small sample critical values of the rescaled range statistic

AU - Izzeldin, Marwan

AU - Murphy, Anthony

PY - 2000

Y1 - 2000

N2 - 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.

AB - 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.

M3 - Journal article

VL - 31

SP - 351

EP - 359

JO - Economic and Social Review

JF - Economic and Social Review

IS - 4

ER -