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Long Run Covariance Matrices for Fractionally Integrated Processes

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Abstract

An 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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File URL: http://cowles.econ.yale.edu/P/cd/d16a/d1611.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1611.

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Length: 14 pages
Date of creation: Jun 2007
Date of revision:
Publication status: Published in Econometric Theory (2007), 23(6): 1233-1247
Handle: RePEc:cwl:cwldpp:1611

Note: CFP 1217.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Asymptotic expansion; Autocovariance function; Fourier integral; Long memory; Long run variance; Spectral density;

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Cited by:
  1. 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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