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Bootstrapping long memory tests: Some Monte Carlo results

  • Murphy, A.
  • Izzeldin, M.

The 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.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Pages: 2325-2334

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Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2325-2334
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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