Long-run covariance matrices for fractionally integrated processes

DOI10.1017/S0266466607070491MaRDI QIDQ2886982zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Chang Sik Kim

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466607070491

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• Cointegration in Fractional Systems with Unknown Integration Orders
• Exact local Whittle estimation of fractional integration
• Fully Modified Least Squares and Vector Autoregression
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Local Whittle estimation in nonstationary and unit root cases.
• The Fractional Unit Root Distribution
• Weak convergence of multivariate fractional processes

Cited in

(7)

• On the eigenstructure of generalized fractional processes.
• A complete asymptotic series for the autocovariance function of a long memory process
• Fractionally Integrated Long Horizon Regressions
• Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
• On the memory of products of long range dependent time series
• Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
• Long memory and long run variation

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