Bootstrapping the small sample critical values of the rescaled range statistic

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File Type:

PDF

Item Type:

Journal Article

Date:

2000

Author:

Izzeldin, Marwan

Murphy, Anthony

Citation:

Izzeldin, Marwan; Murphy, Anthony. 'Bootstrapping the small sample critical values of the rescaled range statistic'. - Economic & Social Review, Vol. 31, No. 4, October, 2000, pp. 351-359, Dublin: Economic & Social Research Institute

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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.