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Long Run Covariance Matrices for Fractionally Integrated Processes




An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0

Suggested Citation

  • Peter C.B. Phillips & Chang Sik Kim, 2007. "Long Run Covariance Matrices for Fractionally Integrated Processes," Cowles Foundation Discussion Papers 1611, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:1611
    Note: CFP 1217.

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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. 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.
    2. Phillips, Peter C.B., 2009. "Long memory and long run variation," Journal of Econometrics, Elsevier, vol. 151(2), pages 150-158, August.
    3. 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.
    4. Christopoulos, Dimitris & McAdam, Peter, 2017. "Do financial reforms help stabilize inequality?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 45-61.
    5. Leschinski, Christian, 2017. "On the memory of products of long range dependent time series," Economics Letters, Elsevier, vol. 153(C), pages 72-76.

    More about this item


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

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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