Long Run Covariance Matrices for Fractionally Integrated Processes

Peter C. B. Phillips () and Chang Sik Kim
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Chang Sik Kim: School of Economics, Sungkyunkwan University

No 1611, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

Keywords: Asymptotic expansion; Autocovariance function; Fourier integral; Long memory; Long run variance; Spectral density (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written
Note: CFP 1217.
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Published in Econometric Theory (2007), 23(6): 1233-1247

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Related works:
Journal Article: LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1611

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