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

DOI10.1017/S0266466611000405zbMath1292.62128MaRDI QIDQ5389962

Dimitris N. Politis, Tucker S. McElroy

Publication date: 24 April 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (9)

A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics ⋮ Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series ⋮ A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support ⋮ Discussion on: ``Bootstrap methods for dependent data: a review ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ Change-in-mean tests in long-memory time series: a review of recent developments

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