Long Run Covariance Matrices for Fractionally Integrated Processes

Author

Peter C. B. PHILLIPS, Singapore Management UniversityFollow
Sik Kim CHANG, Sungkyunkwan University

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