Bootstrapping long memory tests: some Monte Carlo results

Anthony Murphy (anthony.murphy@dal.frb.org) and M Izzeldin

No 574547, Working Papers from Lancaster University Management School, Economics Department

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.

Keywords: Moving block bootstrap; fractional integration (search for similar items in EconPapers)
Date: 2006
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Related works:
Journal Article: Bootstrapping long memory tests: Some Monte Carlo results (2009)
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