Band spectrum regression for cointegrated time series with long memory innovations

D. Marinucci

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1998-07
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Citations: View citations in EconPapers (2)

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