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Original Articles

R/S-bootstrapping test for fractional integration

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Pages 1467-1473 | Received 10 Apr 2017, Accepted 03 Jul 2018, Published online: 17 Nov 2018
 

Abstract

The R/S-type statistic has been designed by Lo and used based on their asymptotic distributions by Giraitis et al. for the detection of fractionally integrated processes. The authors propose the use of a parametric bootstrap procedure based on the R/S-type statistics for testing for fractional integration. Simulation results show that the bootstrap approach shows the best performance in terms of producing good power results while maintaining control over type I error.

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