Document Type
Discussion Paper
Publication Date
6-1-2007
CFDP Number
1611
CFDP Pages
14
Abstract
An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.
Recommended Citation
Phillips, Peter C.B. and Kim, Chang Sik, "Long Run Covariance Matrices for Fractionally Integrated Processes" (2007). Cowles Foundation Discussion Papers. 1907.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1907