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dc.contributor.authorIzzeldin, Marwan
dc.contributor.authorMurphy, Anthony
dc.date.accessioned2012-03-09T15:45:21Z
dc.date.available2012-03-09T15:45:21Z
dc.date.issued2000
dc.identifier.citationIzzeldin, 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
dc.identifier.issn0012-9984
dc.identifier.otherJEL C13
dc.identifier.otherJEL C32
dc.identifier.urihttp://hdl.handle.net/2262/62597
dc.description.abstractFinite 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.en
dc.language.isoen
dc.publisherEconomic & Social Studies
dc.relation.ispartofVol.XX, No. XX, Issue, Year
dc.sourceEconomic & Social Reviewen
dc.subjectTime series statisticsen
dc.subjectRescaled range statisticen
dc.subjectQuantitative methodsen
dc.subjectBootstrappingen
dc.titleBootstrapping the small sample critical values of the rescaled range statistic
dc.typeJournal Article
dc.publisher.placeDublinen


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