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Bootstrapping long memory tests: some Monte Carlo results

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  • Anthony Murphy
  • M Izzeldin

Abstract

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.

Suggested Citation

  • Anthony Murphy & M Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 574547, Lancaster University Management School, Economics Department.
    • Handle: RePEc:lan:wpaper:574547
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