Publication Type
Journal Article
Version
publishedVersion
Publication Date
12-2007
Abstract
An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d ∈ [0,½). The theory is then applied to deliver formulas for the long-run covariance matrices of multivariate time series with long memory.Phillips acknowledges partial support from a Kelly Fellowship and from the NSF under grant SES 04-142254. This may be proved directly using a Fourier integral asymptotic expansion when the spectrum of the short-memory component is analytic.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometric Theory
Volume
23
Issue
6
First Page
1233
Last Page
1247
ISSN
0266-4666
Identifier
10.1017/s0266466607070491
Publisher
Cambridge University Press
Citation
PHILLIPS, Peter C. B. and CHANG, Sik Kim.
Long Run Covariance Matrices for Fractionally Integrated Processes. (2007). Econometric Theory. 23, (6), 1233-1247.
Available at: https://ink.library.smu.edu.sg/soe_research/247
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1017/s0266466607070491