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Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
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http://hdl.handle.net/10419/22439
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| Title: | | Empirical likelihood confidence intervals for the mean of a long-range dependent process  |
| Authors: | | Nordman, Daniel Sibbertsen, Philipp Lahiri, Soumendra N. |
| Issue Date: | | 2005 |
| Series/Report no.: | | Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 327 |
| Abstract: | | This paper considers blockwise empirical likelihood for real-valued linear time processes which may exhibit either short- or long-range dependence. Empirical likelihood approaches intended for weakly dependent time series can fail in the presence of strong dependence. However, a modified blockwise method is proposed for confidence interval estimation of the process mean, which is valid for various dependence structures including long-range dependence. The finite-sample performance of the method is evaluated through a simulation study and compared to other confidence interval procedures involving subsampling or normal approximations. |
| Subjects: | | blocking confidence interval empirical likelihood FARIMA long-range dependence |
| JEL: | | C22 C13 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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