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FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY

Published online by Cambridge University Press:  13 September 2011

Tucker McElroy  and
Dimitris N. Politis
Tucker McElroy
Affiliation:
U.S. Census Bureau
Dimitris N. Politis*
Affiliation:
University of California at San Diego
*
*Address correspondence to Dimitris Politis, Dept. of Mathematics, University of Califonia at San Diego, La Jolla, CA 92093-0112; e-mail:dpolitis@ucsd.edu.
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Abstract

This paper considers the problem of variance estimation for the sample mean in the context of long memory and negative memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics literature. The distribution theory generalizes the short memory results of Kiefer and Vogelsang (2005, Econometric Theory 21, 1130–1164). In particular, our results highlight the dependence on the kernel (we include flat-top kernels), whether or not the kernel is nonzero at the boundary, and, most important, whether or not the process is short memory. Simulation studies support the importance of accounting for memory in the construction of confidence intervals for the mean.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 28 , Issue 2 , April 2012 , pp. 471 - 481
Copyright
Copyright © Cambridge University Press 2011

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