Improving Fractional Integration Tests With Bootstrap Distributions

Asymptotic tests for fractional integration are usually badly sized in small samples, even for normally distributed processes. Furthermore, tests that are well-sized under normality may be severely distorted by non-normalities and ARCH errors. This paper demonstrates how the bootstrap can be implemented to correct for such size distortions.

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Year of publication:	2000-06-01
Authors:	Andersson, Michael K. ; Gredenhoff, Mikael P.
Institutions:	Konjunkturinstitutet, Government of Sweden
Subject:	Long memory \| Resampling \| Skewness and kurtosis \| ARCH \| Size correction \| Power

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Paper Number 74 18 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005190915