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Type: Artigo
Title: Tests of RandomWalk: A Comparison of Bootstrap Approaches
Authors: Lima, Eduardo José Araújo
Tabak, Benjamin Miranda
Abstract: This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used. The comparison of the different approaches using Monte Carlo simulations leads to the conclusion that methodologies using block bootstrap methods present better performance for the construction of empirical distributions of the variance ratio test.Moreover, the results are highly sensitive to methods employed to test the null hypothesis of random walk.
Keywords: Resample
Variance ratio
Random walk
Citation: LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Tests of Random Walk: A Comparison of Bootstrap Approaches. Computational Economics, p. 1, 2009.
Access Type: Acesso Aberto
Document date: 2009
Appears in Collections:PPG - Revistas e Artigos Científicos

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