S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 218:
Robust Testing for Fractional Integration Using the Bootstrap

Michael K. Andersson and Mikael P. Gredenhoff

Abstract: 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. It is shown that a well-designed bootstrap test based on the MRR and GPH tests is exact, and a procedure based on the REG test is nearly exact.

Keywords: Long-memory; resampling; skewness and kurtosis; ARCH; Monte Carlo; size correction.; (follow links to similar papers)

JEL-Codes: C12; C15; C22; C52; (follow links to similar papers)

19 pages, January 27, 1998

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0218.pdf.zip    PDF-file (zipped) (255kB) 
hastef0218.pdf    PDF-file (361kB) 
hastef0218.ps.zip    PKZipped PostScript (511kB) 
hastef0218.ps    PostScript file (2.39MB) 
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0218 This page was generated on 2014-12-14 19:22:54