Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22439
Authors: 
Nordman, Daniel
Sibbertsen, Philipp
Lahiri, Soumendra N.
Year of Publication: 
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

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