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Polynomial Cointegration between Stationary Processes with Long Memory

Marco Avarucci () and Domenico Marinucci
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Domenico Marinucci: Department of Mathematics, University of Rome “Tor Vergata”

CEIS Research Paper from Tor Vergata University, CEIS

Abstract: 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.

Keywords: Nonlinear cointegration; Long memory; Hermite polynomials; Spectral regression; Diagram formula. (search for similar items in EconPapers)
Pages: 24
Date: 2007-03-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:99

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