Polynomial cointegration among stationary processes with long memory

Marco Avarucci () and Domenico Marinucci

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: In this paper we consider polynomial cointegrating relationships among 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.

Date: 2005-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we055123

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