Halkos, George and Kevork, Ilias (2002): Confidence intervals in stationary autocorrelated time series.

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Abstract
In this study we examine in covariance stationary time series the consequences of constructing confidence intervals for the population mean using the classical methodology based on the hypothesis of independence. As criteria we use the actual probability the confidence interval of the classical methodology to include the population mean (actual confidence level), and the ratio of the sampling error of the classical methodology over the corresponding actual one leading to equality between actual and nominal confidence levels. These criteria are computed analytically under different sample sizes, and for different autocorrelation structures. For the AR(1) case, we find significant differentiation in the values taken by the two criteria depending upon the structure and the degree of autocorrelation. In the case of MA(1), and especially for positive autocorrelation, we always find actual confidence levels lower than the corresponding nominal ones, while this differentiation between these two levels is much lower compared to the case of AR(1).
Item Type:  MPRA Paper 

Original Title:  Confidence intervals in stationary autocorrelated time series 
Language:  English 
Keywords:  Covariance stationary time series; Variance of the sample mean; Actual confidence level 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C10  General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models 
Item ID:  31840 
Depositing User:  Nickolaos Tzeremes 
Date Deposited:  26. Jun 2011 10:23 
Last Modified:  13. Feb 2013 06:57 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/31840 