A complete asymptotic series for the autocovariance function of a long memory process

DOI10.1016/j.jeconom.2008.09.021zbMath1429.62403OpenAlexW3121414735MaRDI QIDQ299260

Offer Lieberman, Peter C. B. Phillips

Publication date: 22 June 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/d15/d1586.pdf

zbMATH Keywords

asymptotic expansioncritical pointlong memoryautocovarianceFourier integral

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Long memory and long run variation ⋮ Perpetual learning and apparent long memory ⋮ FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY ⋮ Statistical analysis of autoregressive fractionally integrated moving average models in R

Uses Software

• longmemo

Cites Work

• Rescaled variance and related tests for long memory in volatility and levels
• Long memory processes and fractional integration in econometrics
• Refined Inference on Long Memory in Realized Volatility
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
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