Valid edgeworth expansion for the sample autocorrelation function under long range dependence

Authors
Lieberman, O Rousseau, J Zucker, DM
Citation
O. Lieberman et al., Valid edgeworth expansion for the sample autocorrelation function under long range dependence, ECONOMET TH, 17(1), 2001, pp. 257-275
Citations number
14
Categorie Soggetti
Economics
Journal title
ECONOMETRIC THEORY
ISSN journal
02664666 → ACNP
Volume
17
Issue
1
Year of publication
2001
Pages
257 - 275
Database
ISI
SICI code
0266-4666(200102)17:1<257:VEEFTS>2.0.ZU;2-Z
Abstract
We prove in this paper the validity of an Edgeworth expansion to the joint distribution of the sample autocorrelations of a stationary Gaussian long m emory process. The method of proof relies on a verification of the suitably modified conditions for the validity of a multivariate Edgeworth expansion of Durbin (1980, Biometrika 67, 311-333), A simulation study proves the ex pansion to be useful and accurate.