Empirical likelihood confidence intervals for the mean of a long-range dependent process

Dan Nordman Nordman, Philipp Sibbertsen and Soumendra N. Lahiri

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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.

Keywords: blocking; confidence interval; empirical likelihood; FARIMA; long-range dependence (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2005-11
New Economics Papers: this item is included in nep-ecm
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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-327.pdf (application/pdf)

Related works:
Journal Article: Empirical likelihood confidence intervals for the mean of a long‐range dependent process (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-327

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