. The main result of the work is the decomposition of the introduced generalised autocorrelation coefficients into the sum … of ordinary autocorrelation coefficients, but calculated on the basis of the principal components of the originally …

using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …

This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a …

estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator … would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process … of the Wold errors and impulse responses and that autocorrelation can be corrected for using a consistent GLS estimator …