Nordman, Daniel Sibbertsen, Philipp Lahiri, Soumendra N.
Year of Publication:
Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 327
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.