IDEAS home Printed from https://ideas.repec.org/p/hhs/nierwp/0074.html
   My bibliography  Save this paper

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
    as

    Download full text from publisher

    File URL: http://www.konj.se/download/18.4bf39736154c6660a1096fea/1463753241400/WP_74.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:nierwp:0074. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sarah Hegardt Grant) or (Jens Dietrichson). General contact details of provider: http://edirc.repec.org/data/kongvse.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.