Bootstrapping long memory tests: Some Monte Carlo results
نویسندگان
چکیده
We investigate the bootstrapped size and power properties of ve long memory tests, including the modi ed 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 that of asymptotic tests. In larger samples, the power of the ve tests is good against common fractionally integrated alternatives the FI case and the FI with a stochastic volatility error case.
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عنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 53 شماره
صفحات -
تاریخ انتشار 2009