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Distribution theory for the studentized mean for long, short, and negative memory time series

Tucker McElroy () and Dimitris N. Politis

Journal of Econometrics, 2013, vol. 177, issue 1, 60-74

Abstract: We 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.

Keywords: Kernel; Lag-windows; Overdifferencing; Spectral estimation; Subsampling; Tapers; Unit-root problem (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series (2012) Downloads
Working Paper: Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:177:y:2013:i:1:p:60-74

DOI: 10.1016/j.jeconom.2013.06.002

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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