Scandinavian Working Papers in Economics

Working Papers,
National Institute of Economic Research

No 74: Improving Fractional Integration Tests With Bootstrap Distributions

Michael K. Andersson () and Mikael P. Gredenhoff
Additional contact information
Michael K. Andersson: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Mikael P. Gredenhoff: AGL Structure Finance, Postal: AGL Structure Finance, Sweden

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.

Keywords: Long memory; Resampling; Skewness and kurtosis; ARCH; Size correction; Power

JEL-codes: C12; C15

18 pages, June 1, 2000

Full text files 

WP_74.pdf PDF-file

Download statistics

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

This page generated on 2024-02-05 17:12:55.