Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic

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.

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Year of publication:	2000
Authors:	Izzeldin, Marwan ; Murphy, Anthony
Published in:	The Economic and Social Review. - Economic and Social Studies. - Vol. 31.2000, p. 351-359
Publisher:	Economic and Social Studies

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706841