## Abstract

An infinite-order asymptotic expansion is given for the autocovariance function of a general stationary long-memory process with memory parameter d ∈ (- 1 / 2, 1 / 2). The class of spectral densities considered includes as a special case the stationary and invertible ARFIMA(p, d, q) model. The leading term of the expansion is of the order O (1 / k^{1 - 2 d}), where k is the autocovariance order, consistent with the well known power law decay for such processes, and is shown to be accurate to an error of O (1 / k^{3 - 2 d}). The derivation uses Erdélyi's [Erdélyi, A., 1956. Asymptotic Expansions. Dover Publications, Inc, New York] expansion for Fourier-type integrals when there are critical points at the boundaries of the range of integration - here the frequencies {0, 2 π}. Numerical evaluations show that the expansion is accurate even for small k in cases where the autocovariance sequence decays monotonically, and in other cases for moderate to large k. The approximations are easy to compute across a variety of parameter values and models.

Original language | English |
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Pages (from-to) | 99-103 |

Number of pages | 5 |

Journal | Journal of Econometrics |

Volume | 147 |

Issue number | 1 |

DOIs | |

State | Published - Nov 2008 |

Externally published | Yes |

### Bibliographical note

Funding Information:Phillips acknowledges partial support from the NSF under Grant Nos. SES 04-142254 and SES 06-47086.

## Keywords

- Asymptotic expansion
- Autocovariance
- Critical point
- Fourier integral
- Long memory