Long-run covariance matrices for fractionally integrated processes
DOI10.1017/S0266466607070491zbMATH Open1237.62123OpenAlexW3122228816MaRDI QIDQ2886982FDOQ2886982
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
- Weak convergence of multivariate fractional processes
- Local Whittle estimation in nonstationary and unit root cases.
- Exact local Whittle estimation of fractional integration
- The Fractional Unit Root Distribution
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Fully Modified Least Squares and Vector Autoregression
- Cointegration in Fractional Systems with Unknown Integration Orders
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
This page was built for publication: Long-run covariance matrices for fractionally integrated processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886982)
