Template-Type: ReDIF-Paper 1.0
Author-Name: Igor Fedotenkov
Author-X-Name-First: Igor
Author-X-Name-Last: Fedotenkov
Author-Email: ifedotenkov@lb.lt
Author-Workplace-Name: Bank of Lithuania

Title: A note on the bootstrap method for testing the existence of finite moments
Abstract: This paper discusses a bootstrap-based test, which checks if finite moments exist, and indicates cases of possible misapplication. The analysis indicates that a procedure for finding the smallest power to which observations need to be raised, such as the test rejects a hypothesis that the corresponding moment is finite, works poorly as an estimator of the tail index or moment estimator. This is the case especially for very low- and high-order moments. Several examples of correct usage of the test are also shown. The main result is derived analytically, and a Monte-Carlo experiment is presented.

Classification-JEL: 62G10, 65C05 in MSC2010 classification
Keywords: Bootstrap, nite moment, heavy tails, tail index, test

Length: 11 pages
Number: 6
Note:
Creation-date: 2015-07-02
Price: Free
Publication-Status: 
File-URL: https://www.lb.lt/uploads/publications/docs/op_6.pdf
File-Format: Application/PDF
File-Function: Full text
Handle: RePEc:lie:opaper: 6