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The goal of this paper is to propose a simple method that is not pointwise and that is robust to the presence of highly persistent processes. We use approximations based on local\u2010to\u2010unity asymptotic theory, and allow the horizon to be a fixed fraction of the sample size. We show that our method has better coverage properties at long horizons than existing methods, and may provide different economic conclusions in empirical applications. We also propose a modification of this method which has good coverage properties at both short and long horizons. 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