Long Run Covariance Matrices for Fractionally Integrated Processes

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

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Year of publication:	2007-06
Authors:	Phillips, Peter C.B. ; Kim, Chang Sik
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Asymptotic expansion \| Autocovariance function \| Fourier integral \| Long memory \| Long run variance \| Spectral density

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1217. Published in Econometric Theory (2007), 23(6): 1233-1247 The price is None Number 1611 14 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005463993