Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097556 | Journal of Econometrics | 2006 | 30 Pages |
Abstract
The magnitudes of the coverage probability errors for one-sided bootstrap CIs for covariance parameters for long-memory time series are shown to be essentially the same as they are with iid data. This occurs even though the mean of the time series cannot be estimated at the usual n1/2 rate.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Donald W.K. Andrews, Offer Lieberman, Vadim Marmer,