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Polynomial Cointegration Between Stationary Processes With Long Memory

Marco Avarucci () and Domenico Marinucci

Journal of Time Series Analysis, 2007, vol. 28, issue 6, 923-942

Abstract: Abstract. 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.

Date: 2007
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https://doi.org/10.1111/j.1467-9892.2007.00540.x

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