Long Run Covariance Matrices for Fractionally Integrated Processes
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 part...
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2007
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sg-smu-ink.soe_research-12462018-05-07T08:17:02Z Long Run Covariance Matrices for Fractionally Integrated Processes PHILLIPS, Peter C. B. CHANG, Sik Kim 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. 2007-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/247 info:doi/10.1017/s0266466607070491 https://ink.library.smu.edu.sg/context/soe_research/article/1246/viewcontent/Long_Run_Covariance_Matrices_2007.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics |
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Econometrics PHILLIPS, Peter C. B. CHANG, Sik Kim Long Run Covariance Matrices for Fractionally Integrated Processes |
| description |
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. |
| format |
text |
| author |
PHILLIPS, Peter C. B. CHANG, Sik Kim |
| author_facet |
PHILLIPS, Peter C. B. CHANG, Sik Kim |
| author_sort |
PHILLIPS, Peter C. B. |
| title |
Long Run Covariance Matrices for Fractionally Integrated Processes |
| title_short |
Long Run Covariance Matrices for Fractionally Integrated Processes |
| title_full |
Long Run Covariance Matrices for Fractionally Integrated Processes |
| title_fullStr |
Long Run Covariance Matrices for Fractionally Integrated Processes |
| title_full_unstemmed |
Long Run Covariance Matrices for Fractionally Integrated Processes |
| title_sort |
long run covariance matrices for fractionally integrated processes |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2007 |
| url |
https://ink.library.smu.edu.sg/soe_research/247 https://ink.library.smu.edu.sg/context/soe_research/article/1246/viewcontent/Long_Run_Covariance_Matrices_2007.pdf |
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1770569083909046272 |