Long Run Covariance Matrices for Fractionally Integrated Processes
AbstractAn asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1611.
Length: 14 pages
Date of creation: Jun 2007
Date of revision:
Publication status: Published in Econometric Theory (2007), 23(6): 1233-1247
Note: CFP 1217.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Phillips, Peter C.B. & Kim, Chang Sik, 2007. "Long-Run Covariance Matrices For Fractionally Integrated Processes," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1233-1247, December.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-23 (All new papers)
- NEP-ECM-2007-06-23 (Econometrics)
- NEP-ETS-2007-06-23 (Econometric Time Series)
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- Peter C.B. Phillips, 2008.
"Long Memory and Long Run Variation,"
Cowles Foundation Discussion Papers
1656, Cowles Foundation for Research in Economics, Yale University.
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