LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES

DOI10.1017/S0266466607070491zbMath1237.62123OpenAlexW3122228816MaRDI QIDQ2886982

Chang Sik Kim, Peter C. B. Phillips

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)

Related Items (2)

Long memory and long run variation ⋮ On the memory of products of long range dependent time series

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

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