Polynomial Cointegration Between Stationary Processes With Long Memory

In this article we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density matrix at frequency zero. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.