Bootstrap Testing for Fractional Integration
AbstractAsymptotic tests for fractional integration, such as the Geweke-Porter-Hudak test, the modified rescaled range test and Lagrange multiplier type tests, exhibit size-distortions in small-samples. This paper investigates a parametric bootstrap testing procedure, for size-correction, by means of a computer simulation study. The bootstrap provides a practical method to eliminate size-distortions in the case of an asymptotic pivotal statistic while the power, in general,is close to the corresponding size-adjusted asymptotic test. The results are very encouraging and suggest that a bootstrap testing procedure does correct for size-distortions.
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.
Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 188.
Length: 12 pages
Date of creation: 29 Aug 1997
Date of revision:
Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
Long-memory; ARFIMA; parametric resampling; small-sample; MonteCarlo simulation; size-correction;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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.:
- 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.
- Horowitz, J.L., 1995. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Working Papers 95-10, University of Iowa, Department of Economics.
- Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometric Society, vol. 59(3), pages 817-58, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Francis X. Diebold & Glenn D. Rudebusch, 1990.
"On the power of Dickey-Fuller tests against fractional alternatives,"
Finance and Economics Discussion Series
119, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
- repec:wop:humbsf:1995-63 is not listed on IDEAS
- J. L. Horowitz, 1995. "Bootstrap Methods In Econometrics: Theory And Numerical Performance," SFB 373 Discussion Papers 1995,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
- Pilar Grau-Carles, 2004. "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004 111, Society for Computational Economics.
- Pilar Grau-Carles, 2005. "Tests of Long Memory: A Bootstrap Approach," Computational Economics, Society for Computational Economics, vol. 25(1), pages 103-113, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin).
If references are entirely missing, you can add them using this form.