An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d 0, ). The theory is then applied to deliver formulas for the long-run covariance matrices of multivariate time series with long memory.Phillips acknowledges partial support from a Kelly Fellowship and from the NSF under grant SES 04-142254.This may be proved directly using a Fourier integral asymptotic expansion when the spectrum of the short-memory component is analytic.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 23 (2007) Issue (Month): 06 (December) Pages: 1233-1247 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)