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

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62M09: Non-Markovian processes: estimation

91B84: Economic time series analysis

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

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