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Bootstrapping long memory tests: some Monte Carlo results

  • Anthony Murphy
  • M Izzeldin

We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against fractionally integrated alternatives is often a good deal less than that of asymptotic tests. In larger samples, the power of the five tests is good against common fractionally integrated alternatives - the FI case and the FI with a stochastic volatility error case.

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File URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/BootstrappingTests.pdf
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Paper provided by Lancaster University Management School, Economics Department in its series Working Papers with number 574547.

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Date of creation: 2006
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Handle: RePEc:lan:wpaper:574547
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  9. Lee, D. & Schmidt, P., 1993. "On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives," Papers 9111, Michigan State - Econometrics and Economic Theory.
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  19. Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 475-495.
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