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Title:Empirical likelihood confidence intervals for the mean of a long-range dependent process PDF Logo
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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