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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Length: 14 pages Date of creation: Jun 2007 Date of revision: Publication status: Published in Econometric Theory (2007), 23: 1233-1247 Handle: RePEc:cwl:cwldpp:1611
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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