Empirical likelihood confidence intervals for the mean of a long-range dependent process
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 with other confidence interval procedures involving subsampling or normal approximations. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.
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Volume (Year): 28 (2007)
Issue (Month): 4 (07)
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- Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
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- James Davidson & Philipp Sibbertsen, 2008. "Tests of Bias in Log-Periodogram Regression," Discussion Papers 0805, Exeter University, Department of Economics.
- Lahiri, S. N., 1993. "On the moving block bootstrap under long range dependence," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 405-413, December. Full references (including those not matched with items on IDEAS)
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