Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory
نویسندگان
چکیده
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). 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 importantly 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.
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