Long memory and long run variation

DOI10.1016/J.JECONOM.2009.03.006MaRDI QIDQ2628841zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 18 July 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d16/d1656.pdf

zbMATH Keywords

asymptotic expansionsingularitylong memorygeneralized functionautocovariance functionFourier integrallong range dependencefractional pole

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• A complete asymptotic series for the autocovariance function of a long memory process
• Asymptotic theory of statistical inference for time series
• Diagnostic testing for cointegration
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Log-periodogram regression of time series with long range dependence
• Long-run covariance matrices for fractionally integrated processes
• Multiple local Whittle estimation in stationary systems

Cited in

(10)

• Hyperbolic Decay Time Series
• Asymptotic theory for near integrated processes driven by tempered linear processes
• Long-run covariability
• A complete asymptotic series for the autocovariance function of a long memory process
• Long memory with seasonal effects
• Sample autocovariances of long-memory time series
• Impulse responses of fractionally integrated processes with long memory
• How can we Define the Concept of Long Memory? An Econometric Survey
• On the memory of products of long range dependent time series
• Long-run covariance matrices for fractionally integrated processes

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