{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,11]],"date-time":"2025-11-11T12:57:44Z","timestamp":1762865864511},"reference-count":24,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2011,9,13]],"date-time":"2011-09-13T00:00:00Z","timestamp":1315872000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2012,4]]},"abstract":"<jats:p>This paper considers the problem of variance estimation for the sample mean in the context of long memory and negative memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics literature. The distribution theory generalizes the short memory results of Kiefer and Vogelsang (2005,<jats:italic>Econometric Theory<\/jats:italic>21, 1130\u20131164). In particular, our results highlight the dependence on the kernel (we include flat-top kernels), whether or not the kernel is nonzero at the boundary, and, most important, whether or not the process is short memory. Simulation studies support the importance of accounting for memory in the construction of confidence intervals for the mean.<\/jats:p>","DOI":"10.1017\/s0266466611000405","type":"journal-article","created":{"date-parts":[[2011,9,13]],"date-time":"2011-09-13T10:47:31Z","timestamp":1315910851000},"page":"471-481","source":"Crossref","is-referenced-by-count":14,"title":["FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY"],"prefix":"10.1017","volume":"28","author":[{"given":"Tucker","family":"McElroy","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Dimitris N.","family":"Politis","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2011,9,13]]},"reference":[{"key":"S0266466611000405_ref23","doi-asserted-by":"publisher","DOI":"10.1007\/BF00532868"},{"key":"S0266466611000405_ref20","volume-title":"Stable Non-Gaussian Random Processes","author":"Samorodnitsky","year":"1994"},{"key":"S0266466611000405_ref19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050115"},{"key":"S0266466611000405_ref18","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1995.tb00223.x"},{"key":"S0266466611000405_ref16","doi-asserted-by":"publisher","DOI":"10.1002\/9780470131466"},{"key":"S0266466611000405_ref14","doi-asserted-by":"publisher","DOI":"10.1214\/009053607000000064"},{"key":"S0266466611000405_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.09.021"},{"key":"S0266466611000405_ref12","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00128"},{"key":"S0266466611000405_ref11","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050565"},{"key":"S0266466611000405_ref9","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(01)00151-0"},{"key":"S0266466611000405_ref7","doi-asserted-by":"crossref","first-page":"178","DOI":"10.1214\/aos\/1018031107","article-title":"Whittle estimator for finite-variance non-Gaussian time series with long memory","volume":"27","author":"Giraitis","year":"1999","journal-title":"Annals of Statistics"},{"key":"S0266466611000405_ref2","volume-title":"Statistics for Long Memory Processes","author":"Beran","year":"1994"},{"key":"S0266466611000405_ref8","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/68.1.165"},{"key":"S0266466611000405_ref1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/80.4.817"},{"key":"S0266466611000405_ref5","doi-asserted-by":"publisher","DOI":"10.1080\/03610920902923502"},{"key":"S0266466611000405_ref17","unstructured":"Politis D.N. (2005) Higher-Order Accurate, Positive Semi-Definite Estimation of Large-Sample Covariance and Spectral Density Matrices, Discussion Paper 2005-03, University of California San Diego."},{"key":"S0266466611000405_ref24","doi-asserted-by":"publisher","DOI":"10.1109\/TIT.1987.1057381"},{"key":"S0266466611000405_ref15","unstructured":"McElroy T. & Politis D. (2009) Fixed- b Asymptotics for the Studentized Mean from Time Series with Short, Long or Negative Memory. Technical report, University of California San Diego."},{"key":"S0266466611000405_ref22","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-1162-4"},{"key":"S0266466611000405_ref21","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466604205072"},{"key":"S0266466611000405_ref10","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00366"},{"key":"S0266466611000405_ref6","doi-asserted-by":"publisher","DOI":"10.1007\/BF01207515"},{"key":"S0266466611000405_ref3","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-0320-4"},{"key":"S0266466611000405_ref4","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-33483-2"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466611000405","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,12,4]],"date-time":"2021-12-04T14:57:28Z","timestamp":1638629848000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466611000405\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,9,13]]},"references-count":24,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2012,4]]}},"alternative-id":["S0266466611000405"],"URL":"https:\/\/doi.org\/10.1017\/s0266466611000405","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,9,13]]}}}