IDEAS home Printed from https://ideas.repec.org/p/hhs/hastef/0188.html
   My bibliography  Save this paper

Bootstrap Testing for Fractional Integration

Author

Listed:
  • Andersson, Michael K.

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Gredenhoff, Mikael P.

    (Dept. of Economic Statistics, Stockholm School of Economics)

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.

Suggested Citation

  • Andersson, Michael K. & Gredenhoff, Mikael P., 1997. "Bootstrap Testing for Fractional Integration," SSE/EFI Working Paper Series in Economics and Finance 188, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0188
    as

    Download full text from publisher

    File URL: http://swopec.hhs.se/hastef/papers/hastef0188.pdf.zip
    File Function: Complete Rendering
    Download Restriction: no
    File URL: http://swopec.hhs.se/hastef/papers/hastef0188.pdf
    File Function: Complete Rendering
    Download Restriction: no
    File URL: http://swopec.hhs.se/hastef/papers/hastef0188.ps.zip
    File Function: Complete Rendering
    Download Restriction: no
    File URL: http://swopec.hhs.se/hastef/papers/hastef0188.ps
    File Function: Complete Rendering
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Horowitz, J.L., 1995. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Working Papers 95-10, University of Iowa, Department of Economics.
    2. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
    3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    4. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    5. Davidson, Russell & MacKinnon, James G., 1996. "The Power of Bootstrap Tests," Queen's Institute for Economic Research Discussion Papers 273372, Queen's University - Department of Economics.
    6. Yin‐Wong Cheung, 1993. "Tests For Fractional Integration:A Monte Carlo Investigation," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(4), pages 331-345, July.
    7. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, University Library of Munich, Germany, revised 05 Mar 1996.
    8. Horowitz, J. L., 1995. "Bootstrap Methods In Econometrics: Theory And Numerical Performance," SFB 373 Discussion Papers 1995,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pilar Grau-Carles, 2005. "Tests of Long Memory: A Bootstrap Approach," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 103-113, February.
    2. Pilar Grau-Carles, 2004. "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004 111, Society for Computational Economics.
    3. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Andersson, Michael K. & Gredenhoff, Mikael P., 1998. "Robust Testing for Fractional Integration Using the Bootstrap," SSE/EFI Working Paper Series in Economics and Finance 218, Stockholm School of Economics.
    2. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
    3. Wang, Yafeng & Graham, Brett, 2009. "Generalized Maximum Entropy estimation of discrete sequential move games of perfect information," MPRA Paper 21331, University Library of Munich, Germany.
    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. 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. James G. MacKinnon & Russell Davidson, 1996. "The Size And Power Of Bootstrap Tests," Working Paper 932, Economics Department, Queen's University.
    7. Ingolf Dittmann, 2000. "Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 615-647, November.
    8. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
    9. Oliver Linton & Pedro Gozalo, 1995. "Testing Additivity in Generalized Nonparametric Regression Models," Cowles Foundation Discussion Papers 1106, Cowles Foundation for Research in Economics, Yale University.
    10. Leandro Canibano & Araceli Mora, 2000. "Evaluating the statistical significance of de facto accounting harmonization: a study of European global players," European Accounting Review, Taylor & Francis Journals, vol. 9(3), pages 349-369.
    11. Valérie Mignon, 1998. "Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières," Économie et Prévision, Programme National Persée, vol. 132(1), pages 193-214.
    12. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
    13. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
    14. Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
    15. Joel L. Horowitz, 1996. "Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator," Econometrics 9603003, University Library of Munich, Germany.
    16. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
    17. repec:ipg:wpaper:2014-503 is not listed on IDEAS
    18. Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
    19. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
    20. Doyle, John R. & Chen, Catherine Huirong, 2012. "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1237-1257.
    21. Linton, Oliver, 2002. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.

    More about this item

    Keywords

    Long-memory; ARFIMA; parametric resampling; small-sample; MonteCarlo simulation; size-correction;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0188. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Helena Lundin (email available below). General contact details of provider: https://edirc.repec.org/data/erhhsse.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.