Bootstrapping long memory tests: Some Monte Carlo results
AbstractThe bootstrapped size and power properties of six long memory tests-the modified R/S, KPSS, V/S, GPH, Robinson's and the recently proposed 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 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/csda
Other versions of this item:
- Anthony Murphy & Marwan Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 574547, Lancaster University Management School, Economics Department.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, D. & Schmidt, P., 1993.
"On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives,"
9111, Michigan State - Econometrics and Economic Theory.
- Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
- Lo, Andrew W. (Andrew Wen-Chuan), 1989.
"Long-term memory in stock market prices,"
3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
- Harris, David & McCabe, Brendan & Leybourne, Stephen, 2008. "Testing For Long Memory," Econometric Theory, Cambridge University Press, vol. 24(01), pages 143-175, February.
- Hauser, Michael A, 1997. "Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study," Empirical Economics, Springer, vol. 22(2), pages 247-71.
- Pilar Grau-Carles, 2005. "Tests of Long Memory: A Bootstrap Approach," Computational Economics, Society for Computational Economics, vol. 25(1), pages 103-113, February.
- JAMES G. MacKINNON, 2006.
"Bootstrap Methods in Econometrics,"
The Economic Record,
The Economic Society of Australia, vol. 82(s1), pages S2-S18, 09.
- Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
- Davidson, Russell & MacKinnon, James G., 2006.
"The power of bootstrap and asymptotic tests,"
Journal of Econometrics,
Elsevier, vol. 133(2), pages 421-441, August.
- Silva, E.M. & Franco, G.C. & Reisen, V.A. & Cruz, F.R.B., 2006. "Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1002-1011, November.
- GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, .
"Rescaled variance and related tests for long memory in volatility and levels,"
CORE Discussion Papers RP
-1594, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
- Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.
- Robinson, P.M. & Henry, M., 1999.
"Long And Short Memory Conditional Heteroskedasticity In Estimating The Memory Parameter Of Levels,"
Cambridge University Press, vol. 15(03), pages 299-336, June.
- Robinson, Peter M. & Henry, M., 1999. "Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
- Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Society for Computational Economics, vol. 22(2), pages 187-212, October.
- Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series /2003/452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
- James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
- Andersson, Michael K. & Gredenhoff, Mikael P., 1998. "Robust Testing for Fractional Integration Using the Bootstrap," Working Paper Series in Economics and Finance 218, Stockholm School of Economics.
- Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
- Marwan Izzeldin & Anthony Murphy, 2000. "Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(4), pages 351-359.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.