Long memory and long run variation

DOI10.1016/j.jeconom.2009.03.006zbMath1431.62411OpenAlexW3124527280MaRDI QIDQ2628841

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 expansionsingularitygeneralized functionlong memoryautocovariance functionlong range dependenceFourier integralfractional pole

Mathematics Subject Classification ID

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

Related Items (2)

IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY ⋮ Asymptotic theory for near integrated processes driven by tempered linear processes

Cites Work

• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Diagnostic testing for cointegration
• A complete asymptotic series for the autocovariance function of a long memory process
• Multiple local Whittle estimation in stationary systems
• Asymptotic theory of statistical inference for time series
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
• Fractional differencing
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