Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

D Marinucci

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are investigated, while OLS are inconsistent due to correlation between the regressor and the cointegrating residuals; in the presence of unit roots, these estimates share the same asymptotic distribution as OLS. As a corollary of the main result, we provide a functional central limit theorem for quadratic forms in nonstationary fractionally integrated processes.

Keywords: Long-range dependence; band spectrum regression; cointegration (search for similar items in EconPapers)
Date: 1998-07
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:353

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