Small Sample Asymptotics for the Sample Autocorrelation Function under Long Range Dependence.

We prove in this paper the validity of an Edgeworth expansion to the joint distribution of the sample autocorrelations of a stationary, Gaussian, long memory process. The method of proof relies of Durbin's (1980\) suitably modified conditions for the validity of a multivariate Edgeworth expansion.

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Year of publication:	1999
Authors:	Lieberman, O. ; Rousseau, J. ; Zucker, D.M.
Subject:	ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	C00 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641012