Long Run Covariance Matrices for Fractionally Integrated Processes
Download full text from publisher
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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016.
"Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting,"
Hannover Economic Papers (HEP)
dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
- Phillips, Peter C.B., 2009. "Long memory and long run variation," Journal of Econometrics, Elsevier, vol. 151(2), pages 150-158, August.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- Christopoulos, Dimitris & McAdam, Peter, 2017. "Do financial reforms help stabilize inequality?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 45-61.
- Leschinski, Christian, 2017.
"On the memory of products of long range dependent time series,"
Elsevier, vol. 153(C), pages 72-76.
- Leschinski, Christian, 2016. "On the Memory of Products of Long Range Dependent Time Series," Hannover Economic Papers (HEP) dp-569, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips, 2018. "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," Cowles Foundation Discussion Papers 2131, Cowles Foundation for Research in Economics, Yale University.
More about this item
KeywordsAsymptotic expansion; Autocovariance function; Fourier integral; Long memory; Long run variance; Spectral density;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis 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)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1611. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matthew Regan). General contact details of provider: http://edirc.repec.org/data/cowleus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.