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Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic

Author

Listed:
  • Marwan Izzeldin

    (City University Business School)

  • Anthony Murphy

    (University College Dublin)

Abstract

Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The Monte Carlo results show that the asymptotic critical values in Lo (1991) should not be used.

Suggested Citation

  • Marwan Izzeldin & Anthony Murphy, 2000. "Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(4), pages 351-359.
    • Handle: RePEc:eso:journl:v:31:y:2000:i:4:p:351-359
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    File URL: http://www.esr.ie/vol31_4/4Izzeldin.pdf
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    References listed on IDEAS

    as
    1. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Denis Conniffe & John E. Spencer, 2000. "Approximating the Distribution of the R/s Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 237-248.
    4. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    5. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Maddala,G. S. & Kim,In-Moo, 1999. "Unit Roots, Cointegration, and Structural Change," Cambridge Books, Cambridge University Press, number 9780521587822, January.
    8. Michael Harrison & Glenn Treacy, 1997. "On the Small Sample Distribution of the R/S Statistic," Economics Technical Papers 976, Trinity College Dublin, Department of Economics.
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    4. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
    5. Murphy, A. & Izzeldin, M., 2009. "Bootstrapping long memory tests: Some Monte Carlo results," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2325-2334, April.
    6. repec:lan:wpaper:3145 is not listed on IDEAS

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