This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Improving Fractional Integration Tests With Bootstrap Distributions

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Andersson, Michael K. () (National Institute of Economic Research)
Gredenhoff, Mikael P. (AGL Structure Finance)
Abstract

Asymptotic tests for fractional integration are usually badly sized in small samples, even for normally distributed processes. Furthermore, tests that are well-sized under normality may be severely distorted by non-normalities and ARCH errors. This paper demonstrates how the bootstrap can be implemented to correct for such size distortions.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.konj.se/download/18.2f48d2f18732142c7fff557/wp74.pdf
File Format: application/postscript
File Function:
Download Restriction: no

Publisher Info
Paper provided by National Institute of Economic Research in its series Working Paper with number 74.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 18 pages
Date of creation: 01 Jun 2000
Date of revision:
Handle: RePEc:hhs:nierwp:0074

Contact details of provider:
Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Phone: 46-(0)8-453 59 00
Fax: 46-(0)8-453 59 80
Email:
Web page: http://www.konj.se/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Britta Larsson).

Related research
Keywords: Long memory; Resampling; Skewness and kurtosis; ARCH; Size correction; Power;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

Statistics
Access and download statistics

Did you know? RePEc and its associated services are free for contributors and users, and do not accept any advertising.

This page was last updated on 2009-12-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.