The answer to this question can be found in Chapter Four of this coming-of-age novel, which is when Jem invents his new game and describes it to Scout. The game is called Boo Radley and inolves them acting out the Radley family and what they know of his story. Of course, being children, so much of what they think they know is actually just conjecture and it allows them to feed their fantasies and to terrify themselves in a pleasing way. However, when Jem first invents the game, Scout is worried that Boo Radley might find out what they are doing. This is what he says to try and calm her down:
Scout, how's he gonna know what we're doin'? Besides, I don't think he's still there. He died years ago and they stuffed him up the chimney.
Note how his thinking characterises the particularly childish way they have of thinking about Boo Radley. Having never met him, he is free to become the bogeyman, the dead corpse, the figure they put all of their fears and fantasies onto. Even though Scout doesn't believe Jem and she feels that Boo Radley is in that house, she still begins to play this game.