Working Papers, Konjunkturinstitutet - National Institute of Economic Research
Michael K. Andersson
Improving Fractional Integration Tests With Bootstrap Distributions
() 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.
Keywords: Long memory; Resampling; Skewness and kurtosis; ARCH; Size correction; Power; (follow links to similar papers)
JEL-Codes: C12; C15; (follow links to similar papers)
18 pages, June 1, 2000
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