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 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.
19 pages, January 27, 1998
Full text files
hastef0218.pdf.zip Full text
hastef0218.pdf Full text
hastef0218.ps.zip PostScript file Full text
hastef0218.ps PostScript file Full text
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 ().
This page generated on 2018-03-27 10:24:43.