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Improving Fractional Integration Tests With Bootstrap Distributions

Author

Listed:
  • 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.

Suggested Citation

  • Andersson, Michael K. & Gredenhoff, Mikael P., 2000. "Improving Fractional Integration Tests With Bootstrap Distributions," Working Papers 74, National Institute of Economic Research.
    • Handle: RePEc:hhs:nierwp:0074
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    Cited by:

    1. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.

    More about this item

    Keywords

    Long memory; Resampling; Skewness and kurtosis; ARCH; Size correction; Power;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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