Michael K. Andersson
and Mikael P. Gredenhoff
Michael K. Andersson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Mikael P. Gredenhoff: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Abstract: Asymptotic tests for fractional integration, such as the Geweke-Porter-Hudak test, the modified rescaled range test and Lagrange multiplier type tests, exhibit size-distortions in small-samples. This paper investigates a parametric bootstrap testing procedure, for size-correction, by means of a computer simulation study. The bootstrap provides a practical method to eliminate size-distortions in the case of an asymptotic pivotal statistic while the power, in general,is close to the corresponding size-adjusted asymptotic test. The results are very encouraging and suggest that a bootstrap testing procedure does correct for size-distortions.
12 pages, August 29, 1997
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