Polynomial Cointegration between Stationary Processes with Long Memory
Marco Avarucci () and
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Domenico Marinucci: Department of Mathematics, University of Rome “Tor Vergata”
CEIS Research Paper from Tor Vergata University, CEIS
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)
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Journal Article: Polynomial Cointegration Between Stationary Processes With Long Memory (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:99
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