Michael K. Andersson
() and Mikael P. Gredenhoff
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.
18 pages, June 1, 2000
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