Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
| dc.contributor.author | Hualde Bilbao, Javier | |
| dc.contributor.author | Iacone, Fabrizio | |
| dc.contributor.department | Economía | es_ES |
| dc.contributor.department | Ekonomia | eu |
| dc.date.accessioned | 2020-10-14T10:56:00Z | |
| dc.date.available | 2020-10-14T10:56:00Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | We consider inference for the mean of a general stationary process based on standardizing the sample mean by a frequency domain estimator of the long run variance. Here, the main novelty is that we consider alternative asymptotics in which the bandwidth is kept fixed. This does not yield a consistent estimator of the long run variance, but, for the weakly dependent case, the studentized sample mean has a Student- limit distribution, which, for any given bandwidth, appears to be more precise than the traditional Gaussian limit. When data are fractionally integrated, the fixed bandwidth limit distribution of the studentized mean is not standard, and we derive critical values for various bandwidths. By a Monte Carlo experiment of finite sample performance we find that this asymptotic result provides a better approximation than other proposals like the test statistic based on the Memory Autocorrelation Consistent (MAC) estimator of the variance of the sample mean. | en |
| dc.description.sponsorship | Javier Hualde’s research is supported by the Spanish Ministerio de Economía y Competitividad through project ECO2015-64330-P. | en |
| dc.format.extent | 12 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1016/j.econlet.2016.10.014 | |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/38383 | |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Economics Letters, 2017, 150, 39-43 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2015-64330-P/ES/ | |
| dc.relation.publisherversion | https://doi.org/10.1016/j.econlet.2016.10.014 | |
| dc.rights | © 2016 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Long run variance estimation | en |
| dc.subject | Fractional integration | en |
| dc.subject | Large-m and fixed-m asymptotic theory | en |
| dc.title | Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 4ebd996c-7fe3-4b2c-ae2e-670cc238ea7d | |
| relation.isAuthorOfPublication.latestForDiscovery | 4ebd996c-7fe3-4b2c-ae2e-670cc238ea7d |