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SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES

Published online by Cambridge University Press:  06 March 2002

Ching-Fan Chung
Affiliation:
Academia Sinica
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Abstract

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We develop an asymptotic theory for the first two sample moments of a stationary multivariate long memory process under fairly general conditions. In this theory the convergence rates and the limits (the fractional Brownian motion, the Rosenblatt process, etc.) all depend intrinsically on the degree of long memory in the process. The theory of the sample moments is then applied to the multiple linear regression model. An interesting finding is that, even though all the regressors and the disturbance are stationary and ergodic, the joint long memory in one single regressor and in the disturbance can invalidate the usual asymptotic theory for the ordinary least squares (OLS) estimation. Specifically, the convergence rates of the OLS estimators become slower, the limits are not normal, and the standard t- and F-tests all collapse.

Information

Type
Research Article
Copyright
© 2002 Cambridge University Press