VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE

Offer Lieberman, Judith Rousseau and David M. Zucker

Econometric Theory, 2001, vol. 17, issue 01, pages 257-275

Abstract: We prove in this paper the validity of an Edgeworth expansion to the joint distribution of the sample autocorrelations of a stationary Gaussian long memory process. The method of proof relies on a verification of the suitably modified conditions for the validity of a multivariate Edgeworth expansion of Durbin (1980, Biometrika 67, 311 333). A simulation study proves the expansion to be useful and accurate.

Date: 2001
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