Abstract

This paper provides third and fourth-order coverage probability errors of delta method confidence intervals (CIs) for the covariance parameters of a time series generated by a linear regression model with strongly dependent errors. The CIs are based on the plug-in maximum likelihood (PML) estimators. Bounds have been established on the coverage probability errors of one-and two-sided delta method CIs based on the plug-in log-likelihood (PLL) function under some sets of conditions on the regression coefficients, the spectral density function, and the parameter values. It is shown that the the fourth order delta method CIs in the case of linear regression model with Gaussian, stationary and strongly dependent errors have coverage probability errors of O(n^-1) and that of the third-order has errors of O(n^-1/2) which is the same order of magnitude asymptotically as in the independent and identically distributed (iid) case.

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