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Konjunkturinstitutet - National Institute of Economic Research Working Papers, Konjunkturinstitutet - National Institute of Economic Research

No 74:
Improving Fractional Integration Tests With Bootstrap Distributions

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.

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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