LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES

Peter C. B. Phillips () and Chang Sik Kim

Econometric Theory, 2007, vol. 23, issue 06, pages 1233-1247

Abstract: An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d 0, ). 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.

Date: 2007

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Working Paper: Long Run Covariance Matrices for Fractionally Integrated Processes (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:23:y:2007:i:06:p:1233-1247_07

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