{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,20]],"date-time":"2026-09-20T05:10:01Z","timestamp":1789881001381,"version":"4.0.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2002,3,6]],"date-time":"2002-03-06T00:00:00Z","timestamp":1015372800000},"content-version":"unspecified","delay-in-days":33,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,2]]},"abstract":"<jats:p>We develop an asymptotic theory for the first two sample moments \nof a stationary multivariate long memory process under fairly \ngeneral conditions. In this theory the convergence rates and \nthe limits (the fractional Brownian motion, the Rosenblatt process, \netc.) all depend intrinsically on the degree of long memory \nin the process. The theory of the sample moments is then applied \nto the multiple linear regression model. An interesting finding \nis that, even though all the regressors and the disturbance \nare stationary and ergodic, the joint long memory in one single \nregressor and in the disturbance can invalidate the usual \nasymptotic theory for the ordinary least squares (OLS) estimation. \nSpecifically, the convergence rates of the OLS estimators become \nslower, the limits are not normal, and the standard <jats:italic>t<\/jats:italic>- and \n<jats:italic>F<\/jats:italic>-tests all collapse.<\/jats:p>","DOI":"10.1017\/s0266466602181047","type":"journal-article","created":{"date-parts":[[2002,11,14]],"date-time":"2002-11-14T17:01:41Z","timestamp":1037293301000},"page":"51-78","source":"Crossref","is-referenced-by-count":42,"title":["SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION \nOF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES"],"prefix":"10.1017","volume":"18","author":[{"given":"Ching-Fan","family":"Chung","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2002,3,6]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602181047","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,6]],"date-time":"2019-04-06T15:47:33Z","timestamp":1554565653000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602181047\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2002,2]]}},"alternative-id":["S0266466602181047"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602181047","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,2]]}}}