Template-Type: ReDIF-Paper 1.0
Author-Name: Anthony Murphy
Author-Name-First: Anthony
Author-Name-Last: Murphy
Author-Name: M Izzeldin
Author-Name-First: M
Author-Name-Last: Izzeldin
Title: Bootstrapping long memory tests: some Monte Carlo results
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.
Creation-Date: 2006
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/BootstrappingTests.pdf
File-Format: application/pdf
Number: 574547
Classification-JEL: 
Keywords: Moving block bootstrap, fractional integration
Handle: RePEc:lan:wpaper:574547