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 memory 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 expansion to be useful and accurate.
Original language | English |
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Pages (from-to) | 257-275 |
Number of pages | 19 |
Journal | Econometric Theory |
Volume | 17 |
Issue number | 1 |
DOIs | |
State | Published - 2001 |