According to Betty Azar's Understanding and Using English Grammar (section 14-5), "Go is followed by a gerund in certain idiomatic expressions to express, for the most part, recreational activities."
Ex: Go fishting, Go hiking etc
However, a few websites about grammar suggest that V-ing that follows "Go" is present participle.
For example: in http://www.edufind.com/english/grammar/ING2.cfm
It states that : after verbs of movement/position in the pattern: verb + present participle...
This construction is particularly useful with the verb 'to go', as in these common expressions :
to go shopping, to go swimming etc
What do you think?