Polynomial Cointegration between Stationary Processes with Long Memory

In this paper we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we 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.

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Year of publication:	2007-03-05
Authors:	Avarucci, Marco ; Marinucci, Domenico
Institutions:	Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
Subject:	Nonlinear cointegration \| Long memory \| Hermite polynomials \| Spectral regression \| Diagram formula

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Extent:	application/pdf
Series:	CEIS Research Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005450613