Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22439 
Year of Publication: 
2005
Series/Report no.: 
Diskussionsbeitrag No. 327
Publisher: 
Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
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

Files in This Item:
File
Size
272.01 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.