Distribution theory for the studentized mean for long, short, and negative memory time series
AbstractWe consider the problem of estimating the variance of the partial sums of a stationary time series that has either long memory, short memory, negative/intermediate memory, or is the first-difference of such a process. The rate of growth of this variance depends crucially on the type of memory, and we present results on the behavior of tapered sums of sample autocovariances in this context when the bandwidth vanishes asymptotically. We also present asymptotic results for the case that the bandwidth is a fixed proportion of sample size, extending known results to the case of flat-top tapers. We adopt the fixed proportion bandwidth perspective in our empirical section, presenting two methods for estimating the limiting critical values—both the subsampling method and a plug-in approach. Simulation studies compare the size and power of both approaches as applied to hypothesis testing for the mean. Both methods perform well–although the subsampling method appears to be better sized–and provide a viable framework for conducting inference for the mean. In summary, we supply a unified asymptotic theory that covers all different types of memory under a single umbrella.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 177 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/jeconom
Kernel; Lag-windows; Overdifferencing; Spectral estimation; Subsampling; Tapers; Unit-root problem;
Other versions of this item:
- McElroy, Tucker S & Politis, D N, 2011. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt0dr145dt, Department of Economics, UC San Diego.
- McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
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