CFDP 1611

Long Run Covariance Matrices for Fractionally Integrated Processes

Author(s): 

Publication Date: June 2007

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.

Keywords: 

Asymptotic expansion, Autocovariance function, Fourier integral, Long memory, Long run variance, Spectral density

JEL Classification Codes: C22